Controlling a two-dimensional diffusion process at most until a fixed time

DOI10.1080/02331934.2011.635206zbMath1292.93153OpenAlexW2047798765MaRDI QIDQ5746735

Mario Lefebvre

Publication date: 7 February 2014

Published in: Optimization (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/02331934.2011.635206

zbMATH Keywords

hitting timeKolmogorov backward equationwear processLQG homing

Mathematics Subject Classification ID

Optimal stochastic control (93E20)

Related Items (1)

Maximizing a Function of the Survival Time of aWiener Process in an Interval

Cites Work

• Applied stochastic processes.
• Risk-sensitive control for a class of homing problems
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