On Optimal Linear Regulator with Polynomial Process of External Excitations

DOI10.1137/S0040585X97T991131MaRDI QIDQ5883332

E. S. Palamarchuk

Publication date: 30 March 2023

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

zbMATH Keywords

Ornstein-Uhlenbeck processlinear regulatorpathwise optimalitypolynomial process

Mathematics Subject Classification ID

Linear systems in control theory (93C05) Optimal stochastic control (93E20) Diffusion processes (60J60)

Cites Work

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• On Upper Functions for Anomalous Diffusions Governed by Time-Varying Ornstein--Uhlenbeck Process
• An invariance principle for the law of the iterated logarithm

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