Analysis of the Asymptotic Behavior of the Solution to a Linear Stochastic Differential Equation with Subexponentially Stable Matrix and Its Application to a Control Problem

DOI10.1137/S0040585X97T988794zbMath1396.60068OpenAlexW2887565369WikidataQ115246818 ScholiaQ115246818MaRDI QIDQ4580429

E. S. Palamarchuk

Publication date: 15 August 2018

Published in: Theory of Probability & Its Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1137/s0040585x97t988794

zbMATH Keywords

strong law of large numberslinear-quadratic regulatorlinear equationnonexponential stability

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Strong limit theorems (60F15) Asymptotic stability in control theory (93D20) Stochastic stability in control theory (93E15) Control/observation systems governed by ordinary differential equations (93C15)

Related Items (4)

On Optimal Stochastic Linear Quadratic Control with Inversely Proportional Time-Weighting in the Cost ⋮ On Upper Functions for Integral Quadratic Functionals Based on Time-Varying Ornstein--Uhlenbeck Process ⋮ On the optimal control problem for a linear stochastic system with an unstable state matrix unbounded at infinity ⋮ On Upper Functions for Anomalous Diffusions Governed by Time-Varying Ornstein--Uhlenbeck Process

Cites Work

• On stochastic optimality for a linear controller with attenuating disturbances
• Analysis of criteria for long-run average in the problem of stochastic linear regulator
• Introduction to stochastic control theory
• Asymptotic behavior of the solution to a linear stochastic differential equation and almost sure optimality for a controlled stochastic process
• Continuous Bivariate Distributions
• On a Stochastic Optimality of the Feedback Control in the LQG-Problem
• Linear time varying systems and sampled-data systems
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