Robust optimal control for minimax stochastic linear quadratic problem
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Publication:4803167
DOI10.1080/00207170210156242zbMath1055.93076MaRDI QIDQ4803167
Tyrone E. Duncan, Vladimir G. Boltyanski, Bozenna Pasik-Duncan, Alexander S. Poznyak
Publication date: 2002
Published in: International Journal of Control (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/00207170210156242
Riccati equation; minimax optimal control; linear quadratic control; controlled drift; robust maximum principle
90C47: Minimax problems in mathematical programming
93E20: Optimal stochastic control
49N10: Linear-quadratic optimal control problems
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