Stochastic bang-bang controls that maximize the expectation of first passage time†

DOI10.1080/00207177108932018zbMath0218.93026OpenAlexW2036282059MaRDI QIDQ5623584

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Publication date: 1971

Published in: International Journal of Control (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/00207177108932018

Mathematics Subject Classification ID

Optimal stochastic control (93E20) Existence of optimal solutions belonging to restricted classes (Lipschitz controls, bang-bang controls, etc.) (49J30)

Related Items (6)

A direct search for time-optimal control in stochastic systems † ⋮ Computational and approximate methods of optimal control ⋮ Optimal bang-bang controls that maximize the probability of hitting a target manifold† ⋮ 14.—Dynamic Programming applied to Some Non-linear Stochastic Control Systems ⋮ Computation of optimal controls for a nonlinear stochastic third-order system ⋮ Optimal controls that maximize the expectation of first passage time

Cites Work

• Stochastic stability and control
• On the First Passage Time Probability Problem
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