On the LQG theory with bounded control

Daniil Yurchenko; Jose L Menaldi; Alexander S Bratus

doi:10.1007/s00030-010-0066-1

On the LQG theory with bounded control

Daniil Yurchenko, Jose L Menaldi, Alexander S Bratus

Research output: Contribution to journal › Article › peer-review

4 Citations (Scopus)

Abstract

We consider a stochastic optimal control problem in the whole
space, where the corresponding HJB equation is degenerate, with a quadratic
running cost and coefficients with a linear growth. In this paper we
provide full mathematical details on the key estimate relating the asymptotic
behavior of the solution as the space variables tend to infinite.

Original language	English
Pages (from-to)	527-534
Number of pages	8
Journal	Nonlinear Differential Equations and Applications
Volume	17
Issue number	5
DOIs	https://doi.org/10.1007/s00030-010-0066-1
Publication status	Published - 1 Oct 2010

Keywords

Optimal control
Stochastic control
Hamilton-Jacobi-Bellman
Asymptotic behavior

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10.1007/s00030-010-0066-1

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title = "On the LQG theory with bounded control",

abstract = "We consider a stochastic optimal control problem in the whole space, where the corresponding HJB equation is degenerate, with a quadratic running cost and coefficients with a linear growth. In this paper we provide full mathematical details on the key estimate relating the asymptotic behavior of the solution as the space variables tend to infinite.",

keywords = "Optimal control, Stochastic control, Hamilton-Jacobi-Bellman, Asymptotic behavior",

author = "Daniil Yurchenko and Menaldi, {Jose L} and Bratus, {Alexander S}",

year = "2010",

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day = "1",

doi = "10.1007/s00030-010-0066-1",

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TY - JOUR

T1 - On the LQG theory with bounded control

AU - Yurchenko, Daniil

AU - Menaldi, Jose L

AU - Bratus, Alexander S

PY - 2010/10/1

Y1 - 2010/10/1

N2 - We consider a stochastic optimal control problem in the whole space, where the corresponding HJB equation is degenerate, with a quadratic running cost and coefficients with a linear growth. In this paper we provide full mathematical details on the key estimate relating the asymptotic behavior of the solution as the space variables tend to infinite.

AB - We consider a stochastic optimal control problem in the whole space, where the corresponding HJB equation is degenerate, with a quadratic running cost and coefficients with a linear growth. In this paper we provide full mathematical details on the key estimate relating the asymptotic behavior of the solution as the space variables tend to infinite.

KW - Optimal control

KW - Stochastic control

KW - Hamilton-Jacobi-Bellman

KW - Asymptotic behavior

U2 - 10.1007/s00030-010-0066-1

DO - 10.1007/s00030-010-0066-1

M3 - Article

SN - 1021-9722

VL - 17

SP - 527

EP - 534

JO - Nonlinear Differential Equations and Applications

JF - Nonlinear Differential Equations and Applications

IS - 5

ER -

On the LQG theory with bounded control

Abstract

Keywords

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