On the LQG Theory with Bounded Control
نویسندگان
چکیده
We consider a stochastic optimal control problem in the whole space, where the corresponding HJB equation is degenerate, with a quadratic running cost and coefficients with linear growth. In this paper we provide a full mathematical details on the key estimate relating the asymptotic behavior of the solution as the space variable goes to infinite. Mathematics Subject Classification (2000). Primary 93E20; Secondary 49J15.
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تاریخ انتشار 2016