This article is cited in 31 papers

Stochastic Systems

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

V. V. Dombrovskii, E. A. Lyashenko

Tomsk State University

Presented by the member of Editorial Board: A. I. Propoi

Received: 23.04.2002

 English version: Automation and Remote Control, 2003, 64:10, 1558–1570

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