Optimal control problems with random final time

MaRDI QIDQ3181834zbMATH OpenFDO

Authors Mario Lefebvre

Publication date 12 October 2009

zbMATH Keywords

game theoryBrownian motionhitting timeLQG homing

Mathematics Subject Classification ID

Differential games and control (49N70) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Linear-quadratic optimal control problems (49N10) Optimal stochastic control (93E20)

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Cited in

(13)

• Survival optimization for a diffusion process
• Forcing a controlled diffusion process to leave through the right end of an interval
• Stochastic time-optimal control problems
• Optimal Control with Noisy Time
• Optimal control problems for diffusion processes with random parameters
• Some control problems with random intervention times
• Controlling a two-dimensional diffusion process at most until a fixed time
• Stochastic optimal control in a danger zone
• Minimizing or maximizing the first-passage time to a time-dependent boundary
• Exact solutions to the homing problem for a Wiener process with jumps
• Lqg problems with a possibly infinite final cost
• SKOROKHOD EMBEDDINGS IN BOUNDED TIME
• An optimal control problem with a random stopping time

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