Optimal covariance steering for continuous-time linear stochastic systems with martingale additive noise

DOI10.1109/TAC.2023.3331683MaRDI QIDQ6575978zbMATH OpenFDO

Authors Fengjiao Liu, Panagiotis Tsiotras

Publication date 21 July 2024

Published in IEEE Transactions on Automatic Control (Search for Journal in Brave)

Mathematics Subject Classification ID

Optimality conditions for problems involving randomness (49K45) Linear-quadratic optimal control problems (49N10) Optimal stochastic control (93E20)

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