Optimal control of Markov jump with multiplicative noise systems with infinite quadratic and linear costs (2006)
- Authors:
- Autor USP: COSTA, OSWALDO LUIZ DO VALLE - EP
- Unidade: EP
- Assunto: ENGENHARIA FINANCEIRA
- Language: Inglês
- Imprenta:
- Publisher place: Minneapolis
- Date published: 2006
- Source:
- Título: Proceedings
- Conference titles: American Control Conference
-
ABNT
COSTA, Oswaldo Luiz do Valle e PAULO, Wanderlei Lima de. Optimal control of Markov jump with multiplicative noise systems with infinite quadratic and linear costs. 2006, Anais.. Minneapolis: Escola Politécnica, Universidade de São Paulo, 2006. . Acesso em: 13 fev. 2026. -
APA
Costa, O. L. do V., & Paulo, W. L. de. (2006). Optimal control of Markov jump with multiplicative noise systems with infinite quadratic and linear costs. In Proceedings. Minneapolis: Escola Politécnica, Universidade de São Paulo. -
NLM
Costa OL do V, Paulo WL de. Optimal control of Markov jump with multiplicative noise systems with infinite quadratic and linear costs. Proceedings. 2006 ;[citado 2026 fev. 13 ] -
Vancouver
Costa OL do V, Paulo WL de. Optimal control of Markov jump with multiplicative noise systems with infinite quadratic and linear costs. Proceedings. 2006 ;[citado 2026 fev. 13 ] - Sampled control for mean-variance hedging in a jump diffusion financial market
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- Generalized mean-variance portfolio selection model with regime switching
- On the discrete-time infinite cooupled riccati equations which arises in a certain optimal control problem
- Suboptimal and static output feedback control of hidden Markov jump linear systems
- Sampled control for mean-variance hedging in a jump diffusion financial market
- State feedback H∞ control for discrete-time infinite-dimensional stochastic bilinear systems
- Discretizations for the average impulse control of piecewise deterministic processes
- A note on stochastic stability for linear systems with jumping parameters
- Asymptotic convergence for the average impulse control of piecewise deterministic processes
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