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
DOI10.1137/S0040585X97T988794zbMath1396.60068OpenAlexW2887565369WikidataQ115246818 ScholiaQ115246818MaRDI QIDQ4580429
Publication date: 15 August 2018
Published in: Theory of Probability & Its Applications (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1137/s0040585x97t988794
Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Strong limit theorems (60F15) Asymptotic stability in control theory (93D20) Stochastic stability in control theory (93E15) Control/observation systems governed by ordinary differential equations (93C15)
Related Items (4)
Cites Work
- On stochastic optimality for a linear controller with attenuating disturbances
- Analysis of criteria for long-run average in the problem of stochastic linear regulator
- Introduction to stochastic control theory
- Asymptotic behavior of the solution to a linear stochastic differential equation and almost sure optimality for a controlled stochastic process
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- On a Stochastic Optimality of the Feedback Control in the LQG-Problem
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