Optimal control of an Ornstein-Uhlenbeck process

DOI10.1016/0304-4149(87)90030-5MaRDI QIDQ1090304zbMATH OpenOpenAlexFDO

Authors Mario Lefebvre

Publication date 1987

Published in Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/0304-4149(87)90030-5

zbMATH Keywords

Ornstein-Uhlenbeck processdynamic programming equationtime-invariantminimum energy problemone-dimensional linear time-invariant control system

Mathematics Subject Classification ID

Gaussian processes (60G15) Signal detection and filtering (aspects of stochastic processes) (60G35) Dynamic programming in optimal control and differential games (49L20) Stopping times; optimal stopping problems; gambling theory (60G40) Linear systems in control theory (93C05) 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 3814037 (Why is no real title available?)
• scientific article; zbMATH DE number 3223985 (Why is no real title available?)
• scientific article; zbMATH DE number 3240796 (Why is no real title available?)
• Reduction of a Class of Stochastic Control Problems
• The First Passage Problem for a Continuous Markov Process

Cited in

(8)

• On optimal control in the problem of long-run tracking the exponential Ornstein-Uhlenbeck process
• Commande optimale du processus de wiener
• On a pursuit problem
• Controllability of the Ornstein–Uhlenbeck equation
• Variational and optimal control representations of conditioned and driven processes
• A different class of homing problems
• Reducing a nonlinear dynamic programming equation to a kolomogorov equation
• scientific article; zbMATH DE number 4059262 (Why is no real title available?)

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