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-Reference-Cited by-同舟云学术

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

Published:2018-01 Issue:4 Volume:62 Page:522-533
ISSN:0040-585X
Container-title:Theory of Probability & Its Applications
language:en
Short-container-title:Theory Probab. Appl.

Author:

Palamarchuk E. S.

Publisher

Society for Industrial & Applied Mathematics (SIAM)

Subject

Statistics, Probability and Uncertainty,Statistics and Probability

Link

https://epubs.siam.org/doi/pdf/10.1137/S0040585X97T988794

Reference5 articles.

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

2. Analysis of criteria for long-run average in the problem of stochastic linear regulator

3. On stochastic optimality for a linear controller with attenuating disturbances

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

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