On a Stochastic Optimality of the Feedback Control in the LQG-Problem

DOI10.1137/S0040585X97980695zbMath1063.93052OpenAlexW2066874843MaRDI QIDQ4830880

T. A. Belkina, Ernst L. Presman, Youri M.Kabanov

Publication date: 16 December 2004

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

Full work available at URL: https://doi.org/10.1137/s0040585x97980695

zbMATH Keywords

Ornstein-Uhlenbeck processlinear-quadratic regulatorRiccati equationupper functionsoptimal trackingalmost sure optimalityobservability, controllabilitydeficiency processsensitive probabilistic criteria

Mathematics Subject Classification ID

Feedback control (93B52) Stabilization of systems by feedback (93D15) Optimal stochastic control (93E20)

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