On stochastic Riccati equations for the stochastic LQR problem

Systems and Control Letters

Volumn 54, Issue 2, 2005, Pages 119-124

  Zhu, Jinghao ^a  

^a TONGJI UNIVERSITY   (China)

Author keywords

Brownian motion; Linear quadratic regulator; Stochastic Riccati equation

Indexed keywords

ALGORITHMS; APPROXIMATION THEORY; BROWNIAN MOVEMENT; FUNCTIONS; MATRIX ALGEBRA; PROBLEM SOLVING; RANDOM PROCESSES; STOCHASTIC PROGRAMMING; THEOREM PROVING;

LINEAR QUADRATIC REGULATORS; MATRIX FUNCTIONS; STOCHASTIC RICCATI EQUATIONS;

RICCATI EQUATIONS;

EID: 10444223912     PISSN: 01676911     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.sysconle.2004.07.003     Document Type: Article

References (5)

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