Stochastic exit time problems arising in process control

DOI10.1080/17442508.2011.652117MaRDI QIDQ3145082zbMATH OpenOpenAlexFDO

Authors J. M. C. Clark, Richard B. Vinter

Publication date 13 December 2012

Published in Stochastics (Search for Journal in Brave)

Full work available at URL http://hdl.handle.net/10044/1/40484

zbMATH Keywords

differential gamesexit problemsrisk-sensitive controlstochastic control

Mathematics Subject Classification ID

Differential games and control (49N70) Differential games (aspects of game theory) (91A23) Optimal stochastic control (93E20)

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Cites work

• scientific article; zbMATH DE number 48691 (Why is no real title available?)
• Invariant Solutions of Differential Games and Hamilton--Jacobi--Isaacs Equations for Time-Measurable Hamiltonians
• Non-linear sliding-mode controller and objective function for surge tanks
• Optimal control
• Risk-Sensitive and Robust Escape Criteria

Cited in

(13)

• Exit problem and control theory
• Reverse-time modeling, optimal control and large deviations
• An escape time interpretation of robust control
• Exit time risk-sensitive control for systems of cooperative agents
• Model predictive control for drift counteraction of stochastic constrained linear systems
• Control of exit time for Lagrangian systems with weak noise
• Regular finite fuel stochastic control problems with exit time
• scientific article; zbMATH DE number 1060028 (Why is no real title available?)
• Risk-Sensitive and Robust Escape Criteria
• Hybrid Systems: Computation and Control
• Risk-sensitive and robust escape control for degenerate diffusion processes
• Controlling mean exit time of stochastic dynamical systems based on quasipotential and machine learning
• Forcing a stochastic process to stay in or to leave a given region

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