Optimal control of an Ornstein-Uhlenbeck process

DOI10.1016/0304-4149(87)90030-5zbMath0619.93076OpenAlexW2048593547MaRDI QIDQ1090304

Mario Lefebvre

Publication date: 1987

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0304-4149(87)90030-5

zbMATH Keywords

Ornstein-Uhlenbeck processdynamic programming equationtime-invariantminimum energy problemone-dimensional linear time-invariant control system

Mathematics Subject Classification ID

Gaussian processes (60G15) Dynamic programming in optimal control and differential games (49L20) Linear systems in control theory (93C05) Signal detection and filtering (aspects of stochastic processes) (60G35) Optimal stochastic control (93E20) Stopping times; optimal stopping problems; gambling theory (60G40)

Related Items (3)

On a pursuit problem ⋮ Reducing a nonlinear dynamic programming equation to a kolomogorov equation ⋮ A different class of homing problems

Cites Work

• Reduction of a Class of Stochastic Control Problems
• The First Passage Problem for a Continuous Markov Process
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item

This page was built for publication: Optimal control of an Ornstein-Uhlenbeck process