The homing problem for autoregressive processes

DOI10.1093/IMAMCI/DNAB047zbMath1485.93635OpenAlexW4205741787MaRDI QIDQ5862748

Mario Lefebvre

Publication date: 10 March 2022

Published in: IMA Journal of Mathematical Control and Information (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1093/imamci/dnab047

zbMATH Keywords

dynamic programmingintegral equationstochastic optimal controldiscrete-time Markov processesfirstpassage time

Mathematics Subject Classification ID

Discrete-time Markov processes on general state spaces (60J05) Dynamic programming in optimal control and differential games (49L20) Optimal stochastic control (93E20)

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