Homing Problems With Control in the Diffusion Coefficient

In this article, we consider a class of homing problems with controls only in the diffusion-coefficient of a diffusion process in a given closed interval. The controller seeks to minimize an expected cost that accounts for quadratic control costs, and terminal costs until the controlled process hits...

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Veröffentlicht in:	IEEE transactions on automatic control 2022-07, Vol.67 (7), p.3770-3772
1. Verfasser:	Makasu, Cloud
Format:	Artikel
Sprache:	eng
Schlagworte:	Bessel process Bihari integral inequality Boundary value problems Costs Diffusion Diffusion coefficient Diffusion processes Homing homing problem Optimal control Optimization Process control
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