ON SENSITIVITY OF SOLUTIONS OF RICCATI EQUATIONS UNDER SMALL PARAMETER PERTURBATIONS AND OPTIMALITY IN LINEAR STOCHASTIC CONTROL SYSTEMS

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详细

We investigate sensitivity of solutions of Riccati equations under asymptotically small perturbations of their coefficients. Upper bound on the difference between solutions of algebraic and differential Riccati equations is derived. The result is applied to study optimality in the stochastic linear-quadratic control problem over an infinite time-horizon for an asymptotically autonomous system. We also treat an issue related to performance of invariant control strategy.

作者简介

E. Palamarchuk

Central Economic Mathematical Institute of RAS; National Research University Higher School of Economics

Email: e.palamarchuck@gmail.com
Moscow, Russia; Moscow, Russia

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