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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
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
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
Linking options:
https://www.mathnet.ru/eng/tvp1472https://doi.org/10.4213/tvp1472 https://www.mathnet.ru/eng/tvp/v43/i2/p364
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Abstract page: | 361 | Full-text PDF : | 194 | First page: | 11 |
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