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On optimal control in the problem of long-run tracking the exponential Ornstein—Uhlenbeck process
E. S. Palamarchukab a Central Economics and Mathematics Institite RAS, Nakhimovsky prosp. 47, Moscow 117418, Russia
b Higher School of Economics, Pokrovsky bul. 11, Moscow 109028, Russia
Abstract:
We consider a problem of optimal tracking the exponential Ornstein—Uhlenbeck process. By change of variables, the linear-quadratic control system with discounting has been transformed into linear inhomogeneous system with random coefficients. For such a system, we obtain an optimal control law over an infinite time-horizon. The results are applied to derive an optimal control in the tracking problem with respect to criteria of long-term losses per unit of accumulated discount.
Keywords:
linear stochastic controller, tracking, exponential Ornstein—Uhlenbeck process, discounting.
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Received: 11.04.2022 Revised: 16.06.2022 Accepted: 22.06.2022
Citation:
E. S. Palamarchuk, “On optimal control in the problem of long-run tracking the exponential Ornstein—Uhlenbeck process”, Sib. Zh. Ind. Mat., 25:4 (2022), 116–135
Linking options:
https://www.mathnet.ru/eng/sjim1200 https://www.mathnet.ru/eng/sjim/v25/i4/p116
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