Optimal Control in the Long-Run Tracking Problem for the Exponential Ornstein–Uhlenbeck Processстатья
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Дата последнего поиска статьи во внешних источниках: 1 мая 2024 г.
Аннотация:We consider the optimal tracking problem for the exponential Ornstein–Uhlenbeck process. By a change of variables, the linear-quadratic control system with discounting is transformed into an inhomogeneous linear system with random coefficients. For the latter system, we obtain an optimal control law over an infinite time horizon. The results are applied to determine an optimal control in the tracking problem with respect to criteria of long-term losses per unit of accumulated discount.