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Avtomatika i Telemekhanika, 2021, Issue 3, Pages 98–111
DOI: https://doi.org/10.31857/S0005231021030053 (Mi at15521) 		 
This article is cited in 1 scientific paper (total in 1 paper)

Stochastic Systems

Optimal superexponential stabilization of solutions of linear stochastic differential equations

E. S. Palamarchuk

Steklov Mathematical Institute of the Russian Academy of Sciences, Moscow, 119991 Russia
Full-text PDF (243 kB) Citations (1)
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DOI: https://doi.org/10.31857/S0005231021030053
Abstract: We consider the problem of superexponential stabilization of a scalar linear controlled stochastic process. The underlying stochastic differential equation contains both additive and multiplicative disturbance terms. To achieve stabilization, an infinite-time control problem is solved. The cost is assumed to be quadratic and having a superexponentially increasing time-weighting function. We study the convergence of the optimal process to a zero state in the mean-square sense and almost surely.
Keywords: linear controller, multiplicative and additive noise, superexponential stabilization.
Funding agency Grant number
Russian Science Foundation 18-71-10097
This work was supported by the Russian Science Foundation, project no. 18-71-10097, and carried out at Steklov Mathematical Institute of the Russian Academy of Sciences.
Presented by the member of Editorial Board: B. M. Miller

Received: 19.07.2020
Revised: 28.09.2020
Accepted: 28.10.2020
English version:
Automation and Remote Control, 2021, Volume 82, Issue 3, Pages 449–459
DOI: https://doi.org/10.1134/S000511792103005X
Bibliographic databases:
Document Type: Article
Language: Russian
Citation: E. S. Palamarchuk, “Optimal superexponential stabilization of solutions of linear stochastic differential equations”, Avtomat. i Telemekh., 2021, no. 3, 98–111; Autom. Remote Control, 82:3 (2021), 449–459
Citation in format AMSBIB
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    • This publication is cited in the following 1 articles:
    Citing articles in Google Scholar: Russian citations, English citations
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