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Explicit solution for a vector-valued LQG homing problem |
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| Authors: | Cloud Makasu |
| Affiliation: | 1. Department of Mathematics and Applied Mathematics, University of the Western Cape, Private Bag X17, Bellville, 7535, South Africa |
| Abstract: | In this note, a vector-valued LQG homing problem subject to a controlled stock-wealth process is formulated. Under certain conditions, the problem is solved explicitly via an auxiliary scalar LQG homing problem. |
| Keywords: | |
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