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math.OC2026
Continuous-Time Covariance Steering with Common Free-Final Time: Finite-Horizon Solutions and Infinite-Horizon Limits
Akan Selim, Fengjiao Liu, Siddhartha Ganguly +1
This article studies the optimal common free-final time problem for steering the state covariance of a continuous-time stochastic linear system between prescribed initial and termi…
math.OC2022★ 2 cited
Optimal Covariance Steering for Continuous-Time Linear Stochastic Systems With Multiplicative Noise
Fengjiao Liu, Panagiotis Tsiotras
In this paper we study the finite-horizon optimal covariance steering problem for a continuous-time linear stochastic system subject to both additive and multiplicative noise. The…