A Separation Principle for the Continuous-Time LQ-Problem With Markovian Jump Parameters

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)

Mathematics Subject Classification ID

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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