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/S0040585X97T988794zbMATH Open1396.60068OpenAlexW2887565369WikidataQ115246818 ScholiaQ115246818MaRDI QIDQ4580429FDOQ4580429

Authors: E. S. Palamarchuk 

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

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zbMATH Keywords

strong law of large numberslinear-quadratic regulatorlinear equationnonexponential stability

Mathematics Subject Classification ID

Strong limit theorems (60F15) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Control/observation systems governed by ordinary differential equations (93C15) Asymptotic stability in control theory (93D20) Stochastic stability in control theory (93E15)

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Cited In (7)

• On bounded solutions of linear SDEs driven by convergent system matrix processes with Hurwitz limits
• On upper functions for integral quadratic functionals based on time-varying Ornstein-Uhlenbeck process
• Asymptotic behavior of the solution to a linear stochastic differential equation and almost sure optimality for a controlled stochastic 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 asymptotic behavior of solutions of linear inhomogeneous stochastic differential equations with correlated inputs
• On the optimal control problem for a linear stochastic system with an unstable state matrix unbounded at infinity

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