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Full-Text Articles in Physical Sciences and Mathematics
On The Lqg Theory With Bounded Control, D. V. Iourtchenko, J. L. Menaldi, A. S. Bratus
On The Lqg Theory With Bounded Control, D. V. Iourtchenko, J. L. Menaldi, A. S. Bratus
Mathematics Faculty Research Publications
We consider a stochastic optimal control problem in the whole space, where the corresponding HJB equation is degenerate, with a quadratic running cost and coeffcients 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.