Multi-period mean variance optimal control of Markov jump with multiplicative noise systems (2007)
- Authors:
- Autor USP: COSTA, OSWALDO LUIZ DO VALLE - EP
- Unidade: EP
- Subjects: PROCESSOS DE MARKOV; SISTEMAS LINEARES
- Language: Inglês
- Imprenta:
- Source:
- Título: Mathematical reports
- ISSN: 1582-3067
- Volume/Número/Paginação/Ano: v.9, n.1, p.21-34, 2007
-
ABNT
COSTA, Oswaldo Luiz do Valle e OKIMURA, Rodrigo Takashi. Multi-period mean variance optimal control of Markov jump with multiplicative noise systems. Mathematical reports, v. 9, n. 1, p. 21-34, 2007Tradução . . Acesso em: 27 dez. 2025. -
APA
Costa, O. L. do V., & Okimura, R. T. (2007). Multi-period mean variance optimal control of Markov jump with multiplicative noise systems. Mathematical reports, 9( 1), 21-34. -
NLM
Costa OL do V, Okimura RT. Multi-period mean variance optimal control of Markov jump with multiplicative noise systems. Mathematical reports. 2007 ;9( 1): 21-34.[citado 2025 dez. 27 ] -
Vancouver
Costa OL do V, Okimura RT. Multi-period mean variance optimal control of Markov jump with multiplicative noise systems. Mathematical reports. 2007 ;9( 1): 21-34.[citado 2025 dez. 27 ] - Alocação multi-período de ativos ótima com restrições intertemporais
- Projeto LQG
- Relaxed long run average continuous control of piecewise deterministic Markov processes
- Controle ótimo de sistemas com saltos Markovianos e ruído multiplicativo com custos linear e quadrático indefinido
- Stability results for discrete-time linear systems with markovian jumping parameters
- Temporal difference methods for the maximal solution of discrete-time coupled algebraic Riccati equations
- H2-control and the separation principle for discrete-time Markovian jump linear systems
- Discussion on "Mean square exponential stability for some stochastic linear discrete time systems"
- Robust linear filtering for discrete-time hybrid Markov linear systems
- On the Poisson equation for piecewise-deterministic Markov processes
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