Asymptotic behavior of the solution to a linear stochastic differential equation and almost sure optimality for a controlled stochastic process

DOI10.1134/S0965542514010114zbMath1313.60110OpenAlexW2026234939WikidataQ115247865 ScholiaQ115247865MaRDI QIDQ2940354

E. S. Palamarchuk

Publication date: 26 January 2015

Published in: Computational Mathematics and Mathematical Physics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1134/s0965542514010114

zbMATH Keywords

linear stochastic differential equationalmost sure optimalitynormalizing function

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Ordinary differential equations and systems with randomness (34F05)

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Cites Work

• On stochastic optimality for a linear controller with attenuating disturbances
• Controlled diffusion processes on infinite horizon with the overtaking criterion
• Characterisation of the asymptotic behaviour of scalar linear differential equations with respect to a fading stochastic perturbation
• On a Stochastic Optimality of the Feedback Control in the LQG-Problem
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