Discrete-time mean variance optimal control of linear systems with Markovian jumps and multiplicative noise - Costa, O.L.V.; Okimura, R.T. (International journal of control, 2009)
Keywords: Applied sciences; Computer science; control theory; systems; Control system synthesis; Control theory. Systems; Exact sciences and technology; Markov jump systems; mean variance control; multiplicative noise; Optimal control; stochastic optimal control; Markov process; Control synthesis; Linear control; Modeling; Multiplicative noise; Optimal strategy; Linear combination; Optimal control; regime switching model; Discrete time; Stochastic control; Jump process; Time optimal control