Stochastic exit time problems arising in process control

DOI10.1080/17442508.2011.652117zbMath1252.93131OpenAlexW1973046202MaRDI QIDQ3145082

J. M. C. Clark, Richard B. Vinter

Publication date: 13 December 2012

Published in: Stochastics (Search for Journal in Brave)

Full work available at URL: http://hdl.handle.net/10044/1/40484

zbMATH Keywords

differential gamesstochastic controlrisk-sensitive controlexit problems

Mathematics Subject Classification ID

Differential games and control (49N70) Differential games (aspects of game theory) (91A23) Optimal stochastic control (93E20)

Related Items (3)

Regular finite fuel stochastic control problems with exit time ⋮ Model predictive control for drift counteraction of stochastic constrained linear systems ⋮ An escape time interpretation of robust control

Cites Work

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• Non-linear sliding-mode controller and objective function for surge tanks
• Risk-Sensitive and Robust Escape Criteria
• Invariant Solutions of Differential Games and Hamilton--Jacobi--Isaacs Equations for Time-Measurable Hamiltonians
• Optimal control

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