Risk-sensitive and risk-neutral control for continuous-time hidden Markov models

Applied Mathematics & Optimization - Tập 34 Số 1 - Trang 37-50 - 1996
M. R. James1, Robert J. Elliott2
1Department of Engineering and Cooperative Research Centre for Robust and Adaptive Systems, Australian National University, Canberra, Australia
2Department of Statistics and Applied Probability, University of Alberta, Edmonton, Canada

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