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The Discrete Time Linear-Quadratic-Gaussian Stochastic Control Problem

In: Annals of Economic and Social Measurement, Volume 1, number 4


  • Michael Athans


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Suggested Citation

  • Michael Athans, 1972. "The Discrete Time Linear-Quadratic-Gaussian Stochastic Control Problem," NBER Chapters,in: Annals of Economic and Social Measurement, Volume 1, number 4, pages 449-491 National Bureau of Economic Research, Inc.
  • Handle: RePEc:nbr:nberch:9447

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    References listed on IDEAS

    1. Elizabeth Chase MacRae, 1971. "Matrix derivatives with an application to the analysis of covariance structures," Special Studies Papers 20, Board of Governors of the Federal Reserve System (U.S.).
    2. Elizabeth Chase MacRae, 1972. "Optimal estimation and control: a structural approximation," Special Studies Papers 27, Board of Governors of the Federal Reserve System (U.S.).
    3. Charles C. Holt & Franco Modigliani & John F. Muth, 1956. "Derivation of a Linear Decision Rule for Production and Employment," Management Science, INFORMS, vol. 2(2), pages 159-177, January.
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    Cited by:

    1. John W. Freebairn & Gordon C. Rausser, 1974. "An Adaptive Control Approach To Agricultural Policy," Australian Journal of Agricultural and Resource Economics, Australian Agricultural and Resource Economics Society, vol. 18(3), pages 208-220, December.

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