On the inverse LQG homing problem

DOI10.3103/S1068362322020054MaRDI QIDQ2676594zbMATH OpenOpenAlexFDO

Authors Yanyan Li

Publication date 28 September 2022

Published in Journal of Contemporary Mathematical Analysis. Armenian Academy of Sciences (Search for Journal in Brave)

Full work available at URL https://doi.org/10.3103/s1068362322020054

zbMATH Keywords

dynamic programmingBrownian motionstochastic optimal controljump-diffusion processfirst-passage time

Mathematics Subject Classification ID

Dynamic programming in optimal control and differential games (49L20) Optimal stochastic control (93E20) Jump processes on general state spaces (60J76)

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Cites work

• scientific article; zbMATH DE number 3889341 (Why is no real title available?)
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• scientific article; zbMATH DE number 7329815 (Why is no real title available?)
• Minimizing the time spent in an interval by a Wiener process with uniform jumps
• Optimally ending an epidemic
• Risk-sensitive control for a class of homing problems
• The LQG homing problem for a Wiener process with random infinitesimal parameters
• The risk-sensitive homing problem

Cited in

(8)

• The homing problem for autoregressive processes
• LQG homing problems for processes used in financial mathematics
• LQG homing for jump-diffusion processes
• LQG homing problem with a maximin cost
• General LQG homing problems in one dimension
• Explicit solution for a vector-valued LQG homing problem
• A different class of homing problems
• scientific article; zbMATH DE number 1234526 (Why is no real title available?)

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