Geodesic
On the iterated logarithm law in a control problem
Teoriâ veroâtnostej i ee primeneniâ, Tome 43 (1998) no. 2, pp. 364-369 Cet article a éte moissonné depuis la source Math-Net.Ru

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We consider the limit behavior of some functional of a Wiener process and an arbitrary absolutely continuous adapted function. This kind of functional arises in the problem of control of the linear regulator with quadratic criteria disturbed by white noise. The results obtained make it possible to prove that one cannot improve the estimate of the quality of the control from [T. Belkina, Yu. Kabanov, and E. Presman, Stochastic Linear-Quadratic Regulator. Optimality Almost Sure and in Probability, manuscript] and to clarify some phenomena connected with the iterated logarithm law.
Keywords: keywords linear-quadratic regulator, iterated logarithm law, optimal control, Wiener process. 
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     author = {S. V. Nagaev and E. L. Presman},
     title = {On the iterated logarithm law in a~control problem},
     journal = {Teori\^a vero\^atnostej i ee primeneni\^a},
     pages = {364--369},
     year = {1998},
     volume = {43},
     number = {2},
     language = {ru},
     url = {http://geodesic.mathdoc.fr/item/TVP_1998_43_2_a10/}
}
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S. V. Nagaev; E. L. Presman. On the iterated logarithm law in a control problem. Teoriâ veroâtnostej i ee primeneniâ, Tome 43 (1998) no. 2, pp. 364-369. http://geodesic.mathdoc.fr/item/TVP_1998_43_2_a10/