On the LQG theory with bounded control |
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| Authors: | D V Iourtchenko J L Menaldi A S Bratus |
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| Institution: | (1) Automation and Robotics Research Institute, University of Texas at Arlington, 7300 Jack Newell Blvd. S., Fort Worth, TX 76118, USA |
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| Abstract: | 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 a linear growth. In this paper we provide full mathematical details on the
key estimate relating the asymptotic behavior of the solution as the space variables tend to infinite. |
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