On the Iterated Logarithm Lawin a Control Problem

DOI10.1137/S0040585X97976891MaRDI QIDQ4954359zbMATH OpenOpenAlexFDO

Authors Sergei Nagaev, Ernst Presman

Publication date 6 June 2000

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

Full work available at URL https://doi.org/10.1137/s0040585x97976891

zbMATH Keywords

iterated logarithm lawlinear-quadratic regulatoroptimal controlWiener process

Mathematics Subject Classification ID

Large deviations (60F10) Optimal stochastic control (93E20)

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