Stochastic time-optimal control problems

DOI10.1049/IP-D.1988.0059MaRDI QIDQ3823498zbMATH OpenOpenAlexFDO

Authors

Publication date 1988

Published in IEE Proceedings D Control Theory and Applications (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1049/ip-d.1988.0059

zbMATH Keywords

stochastic differential equationsnecessary condition of optimalitysufficient condition of optimalitystochastic time-optimal

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Optimality conditions for problems involving randomness (49K45) Dynamic programming in optimal control and differential games (49L20) Optimal stochastic control (93E20)

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Cited in

(12)

• Optimal control of an Ornstein-Uhlenbeck process
• Optimization of control of doubly stochastic nonordinary flows in time-sharing systems
• Time-symmetric optimal stochastic control problems in space-time domains
• scientific article; zbMATH DE number 1786293 (Why is no real title available?)
• Optimal control of conditioned processes with feedback controls
• Optimal Control with Noisy Time
• Minimizing or Maximizing the Expected Time to Reach Zero
• Stochastic control with exit time and constraints, application to small time attainability of sets
• Iterative schemes for certain time-dependent problems of stochastic optimal control
• scientific article; zbMATH DE number 3985106 (Why is no real title available?)
• The optimum stochastic control for a problem with random cost incursion times
• An optimal control problem with a random stopping time

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