General LQG homing problems in one dimension

DOI10.1155/2012/803724MaRDI QIDQ1929683zbMATH OpenOpenAlexWikidataFDO

Authors Mario Lefebvre, Foued Zitouni

Publication date 9 January 2013

Published in International Journal of Stochastic Analysis (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1155/2012/803724

zbMATH Keywords

diffusion processesoptimal control

Mathematics Subject Classification ID

Diffusion processes (60J60) Optimal stochastic control (93E20)

Review text

Summary: Optimal control problems for one-dimensional diffusion processes in the interval (\(d_1, d_2\)) are considered. The aim is either to maximize or to minimize the time spent by the controlled processes in (\(d_1, d_2\)). Exact solutions are obtained when the processes are symmetrical with respect to \(d^\ast \in (d_1, d_2)\). Approximate solutions are derived in the asymmetrical case. The one-barrier cases are also treated. Examples are presented.

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Cited in

(16)

• LQG homing problem with a maximin cost
• Linearization of a matrix Riccati equation associated to an optimal control problem
• On the inverse LQG homing problem
• Exact and approximate solutions to LQG homing problems in one and two dimensions
• Probabilistic solution to a two-dimensional LQG homing problem
• LQG homing for jump-diffusion processes
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• LQG homing in two dimensions
• scientific article; zbMATH DE number 1234526 (Why is no real title available?)
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• Solving an LQG homing problem via a different uncontrolled process
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• The LQG homing problem for a Wiener process with random infinitesimal parameters
• scientific article; zbMATH DE number 7329815 (Why is no real title available?)
• A different class of homing problems

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