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/S0040585X97T988794MaRDI QIDQ4580429zbMATH OpenOpenAlexWikidataFDO

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

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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Cites work

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• scientific article; zbMATH DE number 3361728 (Why is no real title available?)
• Analysis of criteria for long-run average in the problem of stochastic linear regulator
• Asymptotic behavior of the solution to a linear stochastic differential equation and almost sure optimality for a controlled stochastic process
• Continuous Bivariate Distributions
• Introduction to stochastic control theory
• Linear time varying systems and sampled-data systems
• On a Stochastic Optimality of the Feedback Control in the LQG-Problem
• On stochastic optimality for a linear controller with attenuating disturbances

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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