Risk-sensitive control for a class of homing problems

DOI10.1016/J.AUTOMATICA.2009.06.015MaRDI QIDQ1049126zbMATH OpenOpenAlexFDO

Authors Cloud Makasu

Publication date 8 January 2010

Published in Automatica (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.automatica.2009.06.015

zbMATH Keywords

backward stochastic differential equationfirst-passage timehoming problems

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Optimal stochastic control (93E20)

Recommendations

• The risk-sensitive homing problem
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Cites work

• scientific article; zbMATH DE number 48691 (Why is no real title available?)
• A different class of homing problems
• Adapted solution of a backward stochastic differential equation
• The risk-sensitive homing problem

Cited in

(13)

• A discrete-time homing problem with two optimizers
• Maximizing the mean exit time of a Brownian motion from an interval
• Maximizing a function of the survival time of a Wiener process in an interval
• Discrete homing problems
• The risk-sensitive homing problem
• Exact and approximate solutions to LQG homing problems in one and two dimensions
• LQG homing problem with a maximin cost
• General LQG homing problems in one dimension
• Explicit solution for a vector-valued LQG homing problem
• On the inverse LQG homing problem
• Controlling a two-dimensional diffusion process at most until a fixed time
• Bounds for a risk-sensitive homing problem
• A boundary value problem for a non-linear difference equation

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