Generalized coupled algebraic Riccati equations for discrete-time Markov jump with multiplicative noise systems
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- A linear quadratic control for discrete systems with random parameters and multiplicative noise and its application to investment portfolio optimization
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Cited in
(12)- Optimal control for continuous-time linear quadratic problems with infinite Markov jump parameters
- Optimal control with constrained total variance for Markov jump linear systems with multiplicative noises
- Optimal mean-variance control for discrete-time linear systems with Markovian jumps and multiplicative noises
- Mean-field formulation for the infinite-horizon mean-variance control of discrete-time linear systems with multiplicative noises
- A mean-field formulation for the mean-variance control of discrete-time linear systems with multiplicative noises
- Distributed \(\mathcal{H}_\infty\) Gaussian consensus filtering for discrete-time systems over lossy sensor networks
- Stochastic optimal control problems of discrete‐time Markov jump systems
- Filtering \(\mathcal{S}\)-coupled algebraic Riccati equations for discrete-time Markov jump systems
- Discrete-time coupled Riccati equations for systems with Markov switching parameters
- Predictive control of systems with Markovian jumps under constraints and its application to the investment portfolio optimization
- Constrained stochastic LQ optimal control problem with random coefficients on infinite time horizon
- Maximal solution to algebraic Riccati equations linked to infinite Markov jump linear systems
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