ON UPPER FUNCTIONS FOR INTEGRAL QUADRATIC FUNCTIONALS BASED ON TIME-VARYING ORNSTEIN-UHLENBECK PROCESS

被引：2

作者：

Palamarchuk, E. S. ^{[1
]}

机构：

[1] Russian Acad Sci, Steklov Math Inst, Moscow 119991, Russia

来源：

THEORY OF PROBABILITY AND ITS APPLICATIONS | 2020年 / 65卷 / 01期

基金：

俄罗斯科学基金会;

关键词：

time-varying Ornstein-Uhlenbeck process; upper function; quadratic functional; asymptotic stability; control; stochastic regulator; STOCHASTIC DIFFERENTIAL-EQUATION; ASYMPTOTIC-BEHAVIOR; OPTIMALITY;

D O I：

10.1137/S0040585X97T989799

中图分类号：

O21 [概率论与数理统计]; C8 [统计学];

学科分类号：

020208 ; 070103 ; 0714 ;

摘要：

We examine the asymptotic behavior of integral quadratic functionals defined on time-varying Ornstein-Uhlenbeck processes. We find an upper function that majorizes with probability 1 the deviation of the integral from its expected value as time increases. The results obtained are applied to evaluate the control performance for stochastic linear-quadratic regulators over an infinite time horizon on asymptotically stable control laws.

引用

页码：17 / 31

页数：15

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