On optimal control in the problem of long-run tracking the exponential Ornstein-Uhlenbeck process

DOI10.33048/sibjim.2021.25.410zbMATH Open1541.49019MaRDI QIDQ6558783

E. S. Palamarchuk

Publication date: 21 June 2024

Published in: Sibirskiĭ Zhurnal Industrial'noĭ Matematiki (Search for Journal in Brave)

zbMATH Keywords

trackingdiscountingexponential Ornstein-Uhlenbeck processlinear stochastic controller

Mathematics Subject Classification ID

Optimal stochastic control (93E20) Linear-quadratic optimal control problems (49N10) Linear optimal control problems (49N05)

Cites Work

• Convergence rate of synchronization of systems with additive noise
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• Tracking a Financial Benchmark Using a Few Assets
• A diffusion model for velocity gradients in turbulence
• Suboptimal design of regulators for jump linear system with time-multiplied quadratic cost
• Behavioral Decision Theory

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