Indefinite Stochastic Linear Quadratic Control with Markovian Jumps in Infinite Time Horizon
Indefinite Stochastic Linear Quadratic Control with Markovian Jumps in Infinite Time Horizon
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Dordrecht: Springer Nature B.V
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English
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Dordrecht: Springer Nature B.V
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This paper studies a stochastic linear quadratic (LQ) control problem in the infinite time horizon with Markovian jumps in parameter values. In contrast to the deterministic case, the cost weighting matrices of the state and control are allowed to be indinifite here. When the generator matrix of the jump process - which is assumed to be a Markov ch...
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Indefinite Stochastic Linear Quadratic Control with Markovian Jumps in Infinite Time Horizon
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TN_cdi_proquest_journals_194677159
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https://devfeature-collection.sl.nsw.gov.au/record/TN_cdi_proquest_journals_194677159
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ISSN
0925-5001
E-ISSN
1573-2916
DOI
10.1023/A:1024887007165
