The linear-quadratic stochastic optimal control problem with random horizon at finite number of events independent of states system

MaRDI QIDQ5262685zbMATH OpenFDO

Authors Edward Kozłowski

Publication date 16 July 2015

zbMATH Keywords

linear quadratic controlrandom horizondeterministic horizon

Mathematics Subject Classification ID

Optimal stochastic control (93E20) Stochastic learning and adaptive control (93E35)

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• Problem of optimal route determining for linear systems with fixed horizon
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• Stabilization of linear systems in random horizon via control
• Stochastic linear-quadratic control with a jump and regime switching on a random horizon
• Linear-quadratic optimal control problem with a random horizon

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