Reverse-time modeling, optimal control and large deviations

DOI10.1016/0167-6911(89)90045-5zbMath0679.93070OpenAlexW956428886MaRDI QIDQ1823218

Brian D. O. Anderson, Rodney A. Kennedy, Michael R. Frater

Publication date: 1989

Published in: Systems \& Control Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0167-6911(89)90045-5

zbMATH Keywords

diffusionsdeterministic optimal controllarge deviations theoryexit trajectoriesGauss-Markov discrete- time systemsreverse-time modeling

Mathematics Subject Classification ID

Stationary stochastic processes (60G10) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Nonlinear systems in control theory (93C10) Discrete-time control/observation systems (93C55) Linear systems in control theory (93C05) Optimal stochastic control (93E20) Diffusion processes (60J60) Large deviations (60F10)

Related Items (1)

Inference and rare event simulation for stopped Markov processes via reverse-time sequential Monte Carlo

Cites Work

• Unnamed Item
• Exit problem and control theory
• Optimal control problems over large time intervals
• Reverse-time diffusion equation models
• Large deviations and rare events in the study of stochastic algorithms
• Residence time control
• A further note on backwards Markovian models (Corresp.)
• Optimal state estimation in high noise
• Correction

This page was built for publication: Reverse-time modeling, optimal control and large deviations