The homing problem for autoregressive processes

DOI10.1093/IMAMCI/DNAB047MaRDI QIDQ5862748zbMATH OpenOpenAlexFDO

Authors 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

discrete-time Markov processesdynamic programmingfirstpassage timeintegral equationstochastic optimal control

Mathematics Subject Classification ID

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

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(4)

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• Bounds for the value function and optimal control in homing problems

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