On “predicted miss” stochastic control problems

DOI10.1080/17442507908833126zbMath0406.93063OpenAlexW2074240917MaRDI QIDQ4193384

Mark H. A. Davis, J. M. C. Clark

Publication date: 1979

Published in: Stochastics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/17442507908833126

zbMATH Keywords

Brownian MotionOptimal Control ProblemLinear Stochastic SystemMartingale Based Optimiality Criteria

Mathematics Subject Classification ID

Linear systems in control theory (93C05) Optimal stochastic control (93E20) Martingales with continuous parameter (60G44)

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Cites Work

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• Full “Bang” to Reduce Predicted Miss is Optimal
• The Optimal Control of a Stochastic System