On the Linear Quadratic Optimal Control for Systems Described by Singularly Perturbed Itô Differential Equations with Two Fast Time Scales
In this paper a stochastic optimal control problem described by a quadratic performance criterion and a linear controlled system modeled by a system of singularly perturbed Itô differential equations with two fast time scales is considered. The asymptotic structure of the stabilizing solut...
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| Format: | Article |
| Language: | English |
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MDPI AG
2019-03-01
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| Series: | Axioms |
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| Online Access: | http://www.mdpi.com/2075-1680/8/1/30 |