Explicit solution for a vector-valued LQG homing problem

DOI10.1007/S11590-011-0429-5MaRDI QIDQ1941203zbMATH OpenOpenAlexFDO

Authors 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

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

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Cites work

• scientific article; zbMATH DE number 3889341 (Why is no real title available?)
• scientific article; zbMATH DE number 1200330 (Why is no real title available?)
• A different class of homing problems
• Moment generating function of a first hitting place for the integrated Ornstein-Uhlenbeck process
• Multicriteria optimization
• Optimal Investment Policies for a Firm With a Random Risk Process: Exponential Utility and Minimizing the Probability of Ruin
• Optimal control of diffusion processes and hamilton–jacobi–bellman equations part 2 : viscosity solutions and uniqueness
• Optimum consumption and portfolio rules in a continuous-time model
• Risk-sensitive control for a class of homing problems
• Scalarization in vector optimization
• Theory of multiobjective optimization
• Using a geometric Brownian motion to control a Brownian motion and vice versa
• Vector-valued optimization problems in control theory. Transl. from the Russian by John L. Casti

Cited in

(7)

• scientific article; zbMATH DE number 7329815 (Why is no real title available?)
• Optimally ending an epidemic
• Linearization of a matrix Riccati equation associated to an optimal control problem
• Optimal control of jump-diffusion processes with random parameters
• Exact and approximate solutions to LQG homing problems in one and two dimensions
• Optimal and suboptimal control of a standard Brownian motion
• scientific article; zbMATH DE number 1234526 (Why is no real title available?)

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