On the LQG theory with bounded control

被引：0
|
作者：
D. V. Iourtchenko
J. L. Menaldi
A. S. Bratus
机构：
[1] Saint-Petersburg State Polytechnic University,Department of Mathematical Sciences
[2] Wayne State University,Department of Mathematics
[3] MIIT,Department of Mathematics
来源：
Nonlinear Differential Equations and Applications NoDEA | 2010年 / 17卷
关键词：
Primary 93E20; Secondary 49J15; Optimal control; Stochastic control; Hamilton-Jacobi-Bellman equation; Asymptotic behavior;
D O I：
暂无
中图分类号：
学科分类号：
摘要：
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.
引用
收藏
页码：527 / 534
页数：7
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