Reducing a nonlinear dynamic programming equation to a kolomogorov equation

DOI10.1080/02331939708844355zbMath0887.93072OpenAlexW2093702509MaRDI QIDQ4372872

Mario Lefebvre

Publication date: 5 May 1998

Published in: Optimization (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/02331939708844355

zbMATH Keywords

Brownian motionRiccati equationoptimal stochastic controlrisk-sensitivity

Mathematics Subject Classification ID

Optimal stochastic control (93E20) Existence theories for optimal control problems involving ordinary differential equations (49J15)

Related Items (3)

A homing problem for diffusion processes with control-dependent variance. ⋮ Exact solutions to two-dimensional homing problems ⋮ A different class of homing problems

Cites Work

• Unnamed Item
• Unnamed Item
• Forcing a stochastic process to stay in or to leave a given region
• Optimal control of an Ornstein-Uhlenbeck process
• The risk-sensitive homing problem
• Commande optimale du processus de wiener

This page was built for publication: Reducing a nonlinear dynamic programming equation to a kolomogorov equation