This article is cited in 1 paper

Stochastic Systems

Optimal superexponential stabilization of solutions of linear stochastic differential equations

E. S. Palamarchuk

Steklov Mathematical Institute of the Russian Academy of Sciences, Moscow, 119991 Russia

Abstract: We consider the problem of superexponential stabilization of a scalar linear controlled stochastic process. The underlying stochastic differential equation contains both additive and multiplicative disturbance terms. To achieve stabilization, an infinite-time control problem is solved. The cost is assumed to be quadratic and having a superexponentially increasing time-weighting function. We study the convergence of the optimal process to a zero state in the mean-square sense and almost surely.

Keywords: linear controller, multiplicative and additive noise, superexponential stabilization.

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

Received: 19.07.2020
Revised: 28.09.2020
Accepted: 28.10.2020

DOI: 10.31857/S0005231021030053

 English version: Automation and Remote Control, 2021, 82:3, 449–459

Bibliographic databases:

• 
• 
• 
•