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On the LQG theory with bounded control

  • D. V. Iourtchenko
  • J. L. Menaldi
  • A. S. Bratus
Article

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.

Mathematics Subject Classification (2000)

Primary 93E20 Secondary 49J15 

Keywords

Optimal control Stochastic control Hamilton-Jacobi-Bellman equation Asymptotic behavior 

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Copyright information

© Birkhäuser / Springer Basel AG 2010

Authors and Affiliations

  • D. V. Iourtchenko
    • 1
  • J. L. Menaldi
    • 2
  • A. S. Bratus
    • 3
  1. 1.Department of Mathematical SciencesSaint-Petersburg State Polytechnic UniversitySaint-PetersburgRussia
  2. 2.Department of MathematicsWayne State UniversityDetroitUSA
  3. 3.Department of MathematicsMIITMoscowRussia

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