Optimal control of linear stochastic systems with applications to time lag systems

DOI10.1016/0020-0255(73)90005-4MaRDI QIDQ2563140zbMATH OpenOpenAlexFDO

Authors Anders Lindquist

Publication date 1973

Published in Information Sciences (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/0020-0255(73)90005-4

Mathematics Subject Classification ID

Estimation and detection in stochastic control theory (93E10) Optimal stochastic control (93E20)

Cites work

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Cited in

(8)

• On optimal control of the stochastic systems with delayed controls and delayed measurements
• On Fredholm integral equations, Toeplitz equations and Kalman-Bucy filtering
• F-reduction of the operator Riccati equation for hereditary differential systems
• On pursuit and feedback in optimal stochastic control - explicit control laws
• An infinite time horizon portfolio optimization model with delays
• Discrete approximation of nonlinear filtering for stochastic delay equations
• When Are HJB-Equations in Stochastic Control of Delay Systems Finite Dimensional?
• On the separation of estimation and control in risk-sensitive investment problems under incomplete observation

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