Optimal controls that maximize the expectation of first passage time

DOI10.1016/0016-0032(77)90002-3zbMath0402.49017OpenAlexW2018938167MaRDI QIDQ1255683

Yaakov Yavin, Menahem Friedman

Publication date: 1977

Published in: Journal of the Franklin Institute (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0016-0032(77)90002-3

zbMATH Keywords

Poisson ProcessNecessary ConditionsWiener ProcessesPenaltyStochastic Nonlinear System

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Nonlinear systems in control theory (93C10) Optimal stochastic control (93E20) Optimality conditions for problems involving randomness (49K45)

Related Items (2)

Computation of impulse control laws for a nonlinear stochastic oscillator ⋮ Estimation and control for a class of non-linear stochastic systems

Cites Work

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• On the first-passage time for envelope crossing for a linear oscillator
• Stochastic bang-bang controls that maximize the expectation of first passage time†
• Optimal bang-bang controls that maximize the probability of hitting a target manifold†

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