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Teoriya Veroyatnostei i ee Primeneniya, 1998, Volume 43, Issue 2, Pages 364–369
DOI: https://doi.org/10.4213/tvp1472 (Mi tvp1472) 		 
This article is cited in 1 scientific paper (total in 1 paper)

Short Communications

On the iterated logarithm law in a control problem

S. V. Nagaeva, E. L. Presmanb

a Sobolev Institute of Mathematics, Siberian Branch of the Russian Academy of Sciences
b Central Economics and Mathematics Institute, RAS
Full-text PDF (290 kB) Citations (1)
DOI: https://doi.org/10.4213/tvp1472
Abstract: We consider the limit behavior of some functional of a Wiener process and an arbitrary absolutely continuous adapted function. This kind of functional arises in the problem of control of the linear regulator with quadratic criteria disturbed by white noise. The results obtained make it possible to prove that one cannot improve the estimate of the quality of the control from [T. Belkina, Yu. Kabanov, and E. Presman, Stochastic Linear-Quadratic Regulator. Optimality Almost Sure and in Probability, manuscript] and to clarify some phenomena connected with the iterated logarithm law.
Keywords: keywords linear-quadratic regulator, iterated logarithm law, optimal control, Wiener process.
Received: 06.02.1997
English version:
Theory of Probability and its Applications, 1999, Volume 43, Issue 2, Pages 288–293
DOI: https://doi.org/10.1137/S0040585X97976891
Bibliographic databases:
Document Type: Article
Language: Russian
Citation: S. V. Nagaev, E. L. Presman, “On the iterated logarithm law in a control problem”, Teor. Veroyatnost. i Primenen., 43:2 (1998), 364–369; Theory Probab. Appl., 43:2 (1999), 288–293
Citation in format AMSBIB
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\paper On the iterated logarithm law in a~control problem
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\pages 364--369
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\transl
\jour Theory Probab. Appl.
\yr 1999
\vol 43
\issue 2
\pages 288--293
\crossref{https://doi.org/10.1137/S0040585X97976891}
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  • https://www.mathnet.ru/eng/tvp1472
  • https://doi.org/10.4213/tvp1472
  • https://www.mathnet.ru/eng/tvp/v43/i2/p364
    • This publication is cited in the following 1 articles:
    Citing articles in Google Scholar: Russian citations, English citations
    Related articles in Google Scholar: Russian articles, English articles
    		Теория вероятностей и ее применения Theory of Probability and its Applications
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