On the inverse LQG homing problem

DOI10.3103/S1068362322020054zbMATH Open1498.93782OpenAlexW4280501961MaRDI QIDQ2676594FDOQ2676594

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

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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)

Cites Work

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• Risk-sensitive control for a class of homing problems
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• Optimally ending an epidemic
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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
• A different class of homing problems
• Explicit solution for a vector-valued LQG homing problem
• Title not available (Why is that?)

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