A Game - Theoretic Model for a Stochastic Linear Quadratic Tracking Problem
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DOI: 10.3390/axioms12010076
Abstract: In this paper, we solve a stochastic linear quadratic tracking problem. The controlled dynamical system is modeled by a system of linear Itô differential equations subject to jump Markov perturbations. We consider the case when… read more here.
Keywords: problem; system; quadratic tracking; stochastic linear ... See more keywords