Discrete-time mean variance optimal control of linear systems with Markovian jumps and multiplicative noise

Oswaldo Luiz V. Costa, Rodrigo Takashi Okimura. Discrete-time mean variance optimal control of linear systems with Markovian jumps and multiplicative noise. Int. J. Control, 82(2):256-267, 2009. [doi]

Authors

Oswaldo Luiz V. Costa

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Rodrigo Takashi Okimura

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