Abstract
The stochastic linear control problem over an infinite-time horizon with a two-sided cost functional and a time-varying diffusion matrix is considered. In the two-sided quadratic cost functional, the limits of integration have opposite sign and depend on the length of planning horizon. It is shown that under conditions on the diffusion matrix growth, the well-known linear feedback law is optimal in terms of the extended long-run average cost and its pathwise analog. In addition, the probabilistic behavior of the system’s optimal path is studied.
Sign-in/Register to access full text options 
Talk to us
Join us for a 30 min session where you can share your feedback and ask us any queries you have
Schedule a callDisclaimer: All third-party content on this website/platform is and will remain the property of their respective owners and is provided on "as is" basis without any warranties, express or implied. Use of third-party content does not indicate any affiliation, sponsorship with or endorsement by them. Any references to third-party content is to identify the corresponding services and shall be considered fair use under The CopyrightLaw.
