Solving an LQG homing problem via a different uncontrolled process

DOI10.1080/002071798221452MaRDI QIDQ4955103zbMATH OpenOpenAlexFDO

Authors Mario Lefebvre

Publication date 12 June 2000

Published in International Journal of Control (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/002071798221452

zbMATH Keywords

explicit solutionLQG homing problemsoptimal controlsingular drift

Mathematics Subject Classification ID

Diffusion processes (60J60) Optimal stochastic control (93E20)

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• Explicit solution for a vector-valued LQG homing problem
• Linear quadratic Gaussian homing for Markov processes with regime switching and applications to controlled population growth/decay
• On the inverse LQG homing problem
• Exact and approximate solutions to LQG homing problems in one and two dimensions
• Probabilistic solution to a two-dimensional LQG homing problem
• LQG homing for jump-diffusion processes
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• scientific article; zbMATH DE number 1234526 (Why is no real title available?)
• LQG homing problems for processes used in financial mathematics
• Remarks on a controlled degenerate diffusion process

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