A different class of homing problems

DOI10.1016/S0167-6911(00)00107-9zbMath0974.93071OpenAlexW2070532871MaRDI QIDQ5941044

Mario Lefebvre

Publication date: 20 August 2001

Published in: Systems \& Control Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/s0167-6911(00)00107-9

zbMATH Keywords

optimal controldynamic programmingBrownian motionstochastic differential equationsdiffusion processeshitting timeKolmogorov equation

Mathematics Subject Classification ID

Optimal stochastic control (93E20)

Related Items (5)

A homing problem for diffusion processes with control-dependent variance. ⋮ Exact solutions to two-dimensional homing problems ⋮ LQG homing problem with a maximin cost ⋮ Explicit solution for a vector-valued LQG homing problem ⋮ Risk-sensitive control for a class of homing problems

Cites Work

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• Optimal control of an Ornstein-Uhlenbeck process
• The risk-sensitive homing problem
• Reducing a nonlinear dynamic programming equation to a kolomogorov equation
• Reduction of a Class of Stochastic Control Problems

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