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

DOI10.33048/SIBJIM.2021.25.410MaRDI QIDQ6558783zbMATH OpenFDO

Authors E. S. Palamarchuk

Publication date 21 June 2024

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

Full work available at URL https://doi.org/10.33048/SIBJIM.2021.25.410

zbMATH Keywords

discountingexponential Ornstein-Uhlenbeck processlinear stochastic controllertracking

Mathematics Subject Classification ID

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

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Cites work

• A diffusion model for velocity gradients in turbulence
• Asymptotic behavior of the solution to a linear stochastic differential equation and almost sure optimality for a controlled stochastic process
• Behavioral Decision Theory
• Convergence rate of synchronization of systems with additive noise
• Infinite horizon backward stochastic differential equations and elliptic equations in Hilbert spaces.
• Linear quadratic dynamic programming for water reservoir management
• Optimal premium policy of an insurance firm: full and partial information
• Stochastic linear quadratic regulators with indefinite control weight costs. II
• Suboptimal design of regulators for jump linear system with time-multiplied quadratic cost
• Tracking a Financial Benchmark Using a Few Assets

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