On upper functions for integral quadratic functionals based on time-varying Ornstein-Uhlenbeck process
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Cites work
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- On a Stochastic Optimality of the Feedback Control in the LQG-Problem
- On the Distribution of the Integrated Square of the Ornstien–Uhlenbeck Process
- On the generalization of logarithmic upper function for solution of a linear stochastic differential equation with a nonexponentially stable matrix
- Pathwise optimality in stochastic control
- Pricing of volume-weighted average options: analytical approximations and numerical results
- Survival models based on the Ornstein-Uhlenbeck process
- Time dependent Heston model
Cited in
(4)- Probability distribution of an integral quadratic functional on the trajectories of a complex-valued Ornstein-Uhlenbeck process
- On optimal stochastic linear quadratic control with inversely proportional time-weighting in the cost
- On upper functions for anomalous diffusions governed by time-varying Ornstein-Uhlenbeck process
- On the sensitivity of solutions of Riccati equations to small parameter perturbations and optimality in linear stochastic control systems
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