Geodesic
Optimal control of a linear system of stochastic differential equations with a quadratic performance index
Differencialʹnye uravneniâ, Tome 18 (1982) no. 4, pp. 607-614.

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     author = {I. P. Smirnov},
     title = {Optimal control of a linear system of stochastic differential equations with a quadratic performance index},
     journal = {Differencialʹnye uravneni\^a},
     pages = {607--614},
     publisher = {mathdoc},
     volume = {18},
     number = {4},
     year = {1982},
     language = {ru},
     url = {http://geodesic.mathdoc.fr/item/DE_1982_18_4_a8/}
}
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I. P. Smirnov. Optimal control of a linear system of stochastic differential equations with a quadratic performance index. Differencialʹnye uravneniâ, Tome 18 (1982) no. 4, pp. 607-614. http://geodesic.mathdoc.fr/item/DE_1982_18_4_a8/