Risk-sensitive control for a class of homing problems

被引：16

作者：

Makasu, Cloud ^{[1
]}

机构：

[1] Univ Venda, Dept Math & Appl Math, ZA-0950 Thohoyandou, South Africa

来源：

AUTOMATICA | 2009年 / 45卷 / 10期

关键词：

Backward stochastic differential equation; First-passage time; Homing problems;

D O I：

10.1016/j.automatica.2009.06.015

中图分类号：

TP [自动化技术、计算机技术];

学科分类号：

0812 ;

摘要：

A result of Lefebvre [Lefebvre, M. (2001). A different class of homing problems. Systems & Control Letters 42, 347-352] is here extended to a two-dimensional homing problem with a risk-sensitive cost criterion. It is shown that the optimal control is given explicitly, and moreover, the optimal value function has a simple probabilistic representation associated with a backward stochastic differential equation with a random terminal time. (C) 2009 Elsevier Ltd. All rights reserved.

引用

页码：2454 / 2455

页数：2