On the LQG theory with bounded control
نویسندگان
چکیده
منابع مشابه
On the LQG Theory with Bounded Control
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 linear growth. In this paper we provide a full mathematical details on the key estimate relating the asymptotic behavior of the solution as the space variable goes to infinite. Mathematics Subject Classification (2000). Prim...
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ژورنال
عنوان ژورنال: Nonlinear Differential Equations and Applications NoDEA
سال: 2010
ISSN: 1021-9722,1420-9004
DOI: 10.1007/s00030-010-0066-1