Partial Information Linear Quadratic Control for Jump Diffusions
โ Scribed by Hu, Yaozhong; Oksendal, Bernt
- Book ID
- 118205662
- Publisher
- Society for Industrial and Applied Mathematics
- Year
- 2008
- Tongue
- English
- Weight
- 213 KB
- Volume
- 47
- Category
- Article
- ISSN
- 0363-0129
No coin nor oath required. For personal study only.
๐ SIMILAR VOLUMES
This paper deals with the problem of how to render the jump linear quadratic (JLQ) control robust. Mainly, we present sufficient conditions for quadratic stabilization and guaranteed cost control of uncertain jump linear system using state feedback control. The proposed control law contains two comp
In a random environment, Jump Linear Quadratic control problems are studied. Random state discontinuities are included in the analysis and the corresponding optimal regulator is obtained. The introduction of stochastic notions of stabilizability and detectability gives a direct characterization of t