On a Matrix Riccati Equation of Stochastic Control

W. M. Wonham

doi:10.1137/0306044

journal article Nov 01, 1968

On a Matrix Riccati Equation of Stochastic Control

W. M. Wonham

SIAM Journal on Control Vol. 6 No. 4 pp. 681-697 · Society for Industrial & Applied Mathematics (SIAM)

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References

4

[1]

10.1109/tac.1967.1098739

[2]

Kantorovich L. V. (1964)

[3]

10.1073/pnas.41.10.743

[4]

10.1137/0305028

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Details

Published: Nov 01, 1968
Vol/Issue: 6(4)
Pages: 681-697

Authors

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W. M. Wonham

Cite This Article

W. M. Wonham (1968). On a Matrix Riccati Equation of Stochastic Control. SIAM Journal on Control, 6(4), 681-697. https://doi.org/10.1137/0306044

On a Matrix Riccati Equation of Stochastic Control

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