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The small disturbance problems associated with the algebraic riccati equation of continuous linear time-invariant systems

โœ Scribed by Hwang Ling; Zhu Wei-ling


Publisher
Springer
Year
1982
Tongue
English
Weight
400 KB
Volume
3
Category
Article
ISSN
0253-4827

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The statistical properties of a backward stochastic differential equation are derived, assuming the noise is similar to the white noise, but having small correlation times. The relation between the forward and backward systems is examined and given an application to the theory of maximum principle.