Explicit solution for a vector-valued LQG homing problem

DOI10.1007/s11590-011-0429-5zbMath1267.93186OpenAlexW1974376469MaRDI QIDQ1941203

Cloud Makasu

Publication date: 12 March 2013

Published in: Optimization Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11590-011-0429-5

zbMATH Keywords

stock-wealth processvector-valued LQG homing problem

Mathematics Subject Classification ID

Optimal stochastic control (93E20) Linear-quadratic optimal control problems (49N10) Financial applications of other theories (91G80)

Related Items (max. 100)

Unnamed Item ⋮ Optimal control of jump-diffusion processes with random parameters ⋮ Optimally ending an epidemic ⋮ Linearization of a matrix Riccati equation associated to an optimal control problem ⋮ Exact and approximate solutions to LQG homing problems in one and two dimensions ⋮ Optimal and Suboptimal Control of a Standard Brownian Motion

Cites Work

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• Scalarization in vector optimization
• Optimal Investment Policies for a Firm With a Random Risk Process: Exponential Utility and Minimizing the Probability of Ruin
• A different class of homing problems

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