Risk-sensitive control for a class of homing problems

DOI10.1016/J.AUTOMATICA.2009.06.015zbMath1183.93128OpenAlexW2081739285MaRDI QIDQ1049126

Cloud Makasu

Publication date: 8 January 2010

Published in: Automatica (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.automatica.2009.06.015

zbMATH Keywords

backward stochastic differential equationfirst-passage timehoming problems

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Optimal stochastic control (93E20)

Related Items (8)

Maximizing a Function of the Survival Time of aWiener Process in an Interval ⋮ LQG homing problem with a maximin cost ⋮ General LQG homing problems in one dimension ⋮ On the inverse LQG homing problem ⋮ Explicit solution for a vector-valued LQG homing problem ⋮ Maximizing the mean exit time of a Brownian motion from an interval ⋮ Controlling a two-dimensional diffusion process at most until a fixed time ⋮ Exact and approximate solutions to LQG homing problems in one and two dimensions

Cites Work

• Unnamed Item
• Adapted solution of a backward stochastic differential equation
• The risk-sensitive homing problem
• A different class of homing problems

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