Explicit solution for a vector-valued LQG homing problem
From MaRDI portal
Publication:1941203
DOI10.1007/s11590-011-0429-5zbMath1267.93186MaRDI QIDQ1941203
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
93E20: Optimal stochastic control
49N10: Linear-quadratic optimal control problems
91G80: Financial applications of other theories
Related Items
Optimally ending an epidemic, Optimal and Suboptimal Control of a Standard Brownian Motion, Unnamed Item, Linearization of a matrix Riccati equation associated to an optimal control problem, Exact and approximate solutions to LQG homing problems in one and two dimensions
Cites Work
- Optimum consumption and portfolio rules in a continuous-time model
- Risk-sensitive control for a class of homing problems
- Theory of multiobjective optimization
- Moment generating function of a first hitting place for the integrated Ornstein-Uhlenbeck process
- Vector-valued optimization problems in control theory. Transl. from the Russian by John L. Casti
- Using a geometric Brownian motion to control a Brownian motion and vice versa
- Multicriteria optimization
- Optimal control of diffusion processes and hamilton–jacobi–bellman equations part 2 : viscosity solutions and uniqueness
- Scalarization in vector optimization
- Optimal Investment Policies for a Firm With a Random Risk Process: Exponential Utility and Minimizing the Probability of Ruin
- A different class of homing problems
- Unnamed Item
- Unnamed Item
