A Separation Principle for the Continuous-Time LQ-Problem With Markovian Jump Parameters
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Publication:4979022
DOI10.1109/TAC.2010.2048056zbMath1368.93785MaRDI QIDQ4979022
Marcelo Dutra Fragoso, Oswaldo L. V. Costa
Publication date: 25 August 2017
Published in: IEEE Transactions on Automatic Control (Search for Journal in Brave)
Signal detection and filtering (aspects of stochastic processes) (60G35) Optimal stochastic control (93E20) Linear-quadratic optimal control problems (49N10) Applications of continuous-time Markov processes on discrete state spaces (60J28)
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