Discrete-time mean variance optimal control of linear systems with Markovian jumps and multiplicative noise (2009)
- Authors:
- Autor USP: COSTA, OSWALDO LUIZ DO VALLE - EP
- Unidade: EP
- DOI: 10.1080/00207170802050825
- Subjects: MÉTODOS MCMC; CADEIAS DE MARKOV
- Language: Inglês
- Imprenta:
- Source:
- Título: International Journal of Control
- ISSN: 0020-7179
- Volume/Número/Paginação/Ano: v. 82, n. 2, p. 256-267, 2009
- Este artigo NÃO possui versão em acesso aberto
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Status: Nenhuma versão em acesso aberto identificada -
ABNT
COSTA, Oswaldo Luiz do Valle e OKIMURA, Rodrigo Takashi. Discrete-time mean variance optimal control of linear systems with Markovian jumps and multiplicative noise. International Journal of Control, v. 82, n. 2, p. 256-267, 2009Tradução . . Disponível em: https://doi.org/10.1080/00207170802050825. Acesso em: 12 mar. 2026. -
APA
Costa, O. L. do V., & Okimura, R. T. (2009). Discrete-time mean variance optimal control of linear systems with Markovian jumps and multiplicative noise. International Journal of Control, 82( 2), 256-267. doi:10.1080/00207170802050825 -
NLM
Costa OL do V, Okimura RT. Discrete-time mean variance optimal control of linear systems with Markovian jumps and multiplicative noise [Internet]. International Journal of Control. 2009 ; 82( 2): 256-267.[citado 2026 mar. 12 ] Available from: https://doi.org/10.1080/00207170802050825 -
Vancouver
Costa OL do V, Okimura RT. Discrete-time mean variance optimal control of linear systems with Markovian jumps and multiplicative noise [Internet]. International Journal of Control. 2009 ; 82( 2): 256-267.[citado 2026 mar. 12 ] Available from: https://doi.org/10.1080/00207170802050825 - Sampled control for mean-variance hedging in a jump diffusion financial market
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