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

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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Cited In (5)

• 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
• On Upper Functions for Integral Quadratic Functionals Based on Time-Varying Ornstein--Uhlenbeck Process

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