Adaptive control of continuous-time linear stochastic systems with discounted cost criterion (Q912054): Difference between revisions

We consider the adaptive control of a linear diffusion process with regard to the discounted cost criterion. We show that the certainty- equivalence type of control, analogous to the one considered by \textit{T. E. Duncan} and \textit{P. Pasik-Duncan} [Math. Control Signals Syst. 3, No.1, 45-60 (1990; Zbl 0682.93057)], is asymptotically discount optimal in the sense of \textit{M. Schäl} [Stochastics 20, 51-71 (1987; Zbl 0621.90092)].