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Avtomatika i Telemekhanika, 2021, Issue 5, Pages 20–34
DOI: https://doi.org/10.31857/S0005231021050020 (Mi at15511) 		 
Stochastic Systems

Optimal control for a linear quadratic problem with a stochastic time scale

E. S. Palamarchukab

a Central Economic Mathematical Institute, Moscow, 117418 Russia
b National Research University Higher School of Economics, Moscow, 101000 Russia
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DOI: https://doi.org/10.31857/S0005231021050020
Abstract: We consider a linear-quadratic control problem where a time parameter evolves according to a stochastic time scale. The stochastic time scale is defined via a stochastic process with continuously differentiable paths. We obtain an optimal infinite-time control law under criteria similar to the long-run averages. Some examples of stochastic time scales from various applications have been examined.
Keywords: linear quadratic controller, stochastic time scale, long-run average.
Funding agency Grant number
HSE Basic Research Program
This work was prepared within the framework of the HSE University Basic Research Program.
Presented by the member of Editorial Board: B. M. Miller

Received: 26.06.2020
Revised: 07.12.2020
Accepted: 15.01.2021
English version:
Automation and Remote Control, 2021, Volume 82, Issue 5, Pages 759–771
DOI: https://doi.org/10.1134/S0005117921050027
Bibliographic databases:
Document Type: Article
Language: Russian
Citation: E. S. Palamarchuk, “Optimal control for a linear quadratic problem with a stochastic time scale”, Avtomat. i Telemekh., 2021, no. 5, 20–34; Autom. Remote Control, 82:5 (2021), 759–771
Citation in format AMSBIB
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