Indefinite Stochastic Linear Quadratic Control and Generalized Differential Riccati Equation

Mustapha Ait Rami, John B. Moore, Xun Yu Zhou. Indefinite Stochastic Linear Quadratic Control and Generalized Differential Riccati Equation. SIAM J. Control and Optimization, 40(4):1296-1311, 2002. [doi]

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