The LQG homing problem for a Wiener process with random infinitesimal parameters

被引：2

作者：

Lefebvre, Mario ^{[1
]}

Moutassim, Abderrazak ^{[1
]}

机构：

[1] Polytech Montreal, Dept Math & Ind Engn, CP 6079,Succursale Ctr Ville, Montreal, PQ H3C 3A7, Canada

来源：

ARCHIVES OF CONTROL SCIENCES | 2019年 / 29卷 / 03期

基金：

加拿大自然科学与工程研究理事会;

关键词：

stochastic optimal control; first-passage time; dynamic programming; Brownian motion;

D O I：

10.24425/acs.2019.130198

中图分类号：

TP [自动化技术、计算机技术];

学科分类号：

0812 ;

摘要：

The problem of optimally controlling a Wiener process until it leaves an interval (a, b) for the first time is considered in the case when the infinitesimal parameters of the process are random. When a = -infinity, the exact optimal control is derived by solving the appropriate system of differential equations, whereas a very precise approximate solution in the form of a polynomial is obtained in the two-barrier case.

引用

页码：413 / 422

页数：10

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