Lqg problems with a possibly infinite final cost

DOI10.1080/02331939408843937zbMath0816.49012OpenAlexW2095294224MaRDI QIDQ4764886

Mario Lefebvre

Publication date: 2 July 1995

Published in: Optimization (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/02331939408843937

zbMATH Keywords

optimal controlcost functiondynamic systemsBrownian motion processlinear quadratic Gaussianquadratic control costsLQG problemstermination cost

Mathematics Subject Classification ID

Optimal stochastic control (93E20) Existence theories for optimal control problems involving ordinary differential equations (49J15) Existence of optimal solutions to problems involving randomness (49J55)

Related Items (1)

One-dimensional finite range random walk in random medium and invariant measure equation

Cites Work

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• Forcing a stochastic process to stay in or to leave a given region
• Hitting lines at minimal cost with a Gaussian process
• On the inverse of the first passage time probability problem

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