14.—Dynamic Programming applied to Some Non-linear Stochastic Control Systems

DOI10.1017/S0308210500016644MaRDI QIDQ4113718zbMATH OpenOpenAlexFDO

Authors A. T. Fuller

Publication date 1976

Published in Proceedings of the Royal Society of Edinburgh: Section A Mathematics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1017/s0308210500016644

Mathematics Subject Classification ID

Hamilton-Jacobi theories (49L99) Optimal stochastic control (93E20)

Cites work

• A direct search for time-optimal control in stochastic systems †
• Analysis and partial optimization of a non-linear stochastic control system
• Analysis of nonlinear stochastic systems by means of the Fokker–Planck equation†
• Dynamic programming and stochastic control processes
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• Linear Control of Non-Linear Systems
• Linear control of saturating control systems†
• On the Separation Theorem of Stochastic Control
• Optimal and linear sub-optimal control of second-order saturating control systems†
• Optimal bang-bang controls that maximize the probability of hitting a target manifold†
• Probability limit theorems and the convergence of finite difference approximations of partial differential equations
• Solution of the stochastic control problem in unbounded domains
• Stochastic bang-bang controls that maximize the expectation of first passage time†
• Time-optimal control in regions where all state coordinates have the same sign

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