This article is cited in 1 paper

Stochastic Systems

Optimal control for a linear quadratic problem with a stochastic time scale

E. S. Palamarchuk<sup>ab

a</sup> Central Economic Mathematical Institute, Moscow, 117418 Russia
^b National Research University Higher School of Economics, Moscow, 101000 Russia

Abstract: We consider a linear-quadratic control problem where a time parameter evolves according to a stochastic time scale. The stochastic time scale is defined via a stochastic process with continuously differentiable paths. We obtain an optimal infinite-time control law under criteria similar to the long-run averages. Some examples of stochastic time scales from various applications have been examined.

Keywords: linear quadratic controller, stochastic time scale, long-run average.

Presented by the member of Editorial Board: B. M. Miller

Received: 26.06.2020
Revised: 07.12.2020
Accepted: 15.01.2021

DOI: 10.31857/S0005231021050020

 English version: Automation and Remote Control, 2021, 82:5, 759–771

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