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MR1871455 (2002j:93109) 93E20 (49N10 90C22)
Yao, David D.; Zhang, Shuzhong; Zhou, Xun Yu Stochastic linear-quadratic control via semidefinite programming. SIAM J. Control Optim. 40 (2001), no. 3, 801–823 (electronic).
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