Optimal Covariance Steering for Continuous-Time Linear Stochastic Systems With Multiplicative Noise - Liu, Fengjiao; Tsiotras, Panagiotis (IEEE transactions on automatic control, 2024)
Keywords: Continuous time systems; Costs; Covariance; Covariance control; Covariance matrices; Differential equations; linear stochastic systems; Mathematical models; Noise control; Noise measurement; Optimal control; Process control; Riccati differential equation; Riccati equations; state-dependent noise; Steering; Stochastic systems