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Explicit Solution for Constrained Scalar-State Stochastic Linear-Quadratic Control With Multiplicative Noise
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Outgoing claims: the papers this work cites, builds on, or argues with.
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The explicit linear quadratic regulator for constrained systems
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Indefinite Stochastic Linear Quadratic Control with Markovian Jumps in Infinite Time Horizon
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Optimal filtering for polynomial system states with polynomial multiplicative noise
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Stochastic Receding Horizon Control of Constrained Linear Systems With State and Control Multiplicative Noise
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Unified Framework of Mean-Field Formulations for Optimal Multi-Period Mean-Variance Portfolio Selection
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Optimal Dynamic Portfolio Selection: Multiperiod Mean‐Variance Formulation
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MEAN‐VARIANCE POLICY FOR DISCRETE‐TIME CONE‐CONSTRAINED MARKETS: TIME CONSISTENCY IN EFFICIENCY AND THE MINIMUM‐VARIANCE SIGNED SUPERMARTINGALE MEASURE
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Constrained Stochastic LQ Control with Random Coefficients, and Application to Portfolio Selection
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