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• W3125566892 abstract "We consider the problem of tracking a target whose dynamics is modeled by a continuous Itô semi-martingale. The aim is to minimize both deviation from the target and tracking efforts. We establish the existence of asymptotic lower bounds for this problem, depending on the cost structure. These lower bounds can be related to the time-average control of Brownian motion, which is characterized as a deterministic linear programming problem. A comprehensive list of examples with explicit expressions for the lower bounds is provided." @default.
• W3125566892 created "2021-02-01" @default.
• W3125566892 creator A5015126484 @default.
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• W3125566892 date "2017-08-01" @default.
• W3125566892 modified "2023-10-16" @default.
• W3125566892 title "Asymptotic lower bounds for optimal tracking: A linear programming approach" @default.
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• W3125566892 doi "https://doi.org/10.1214/16-aap1264" @default.
• W3125566892 hasPublicationYear "2017" @default.
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