A Linear Quadratic Control for Discrete Systems with Random Parameters and Multiplicative Noise and Its Application to Investment Portfolio Optimization

Author： Dombrovskii V.V.   Lyashenko E.A.  

Publisher： MAIK Nauka/Interperiodica

ISSN： 0005-1179

Source： Automation and Remote Control, Vol.64, Iss.10, 2003-10, pp. : 1558-1570

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