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General LQG homing problems in one dimension

Mario Lefebvre and Foued Zitouni

Article (2012)

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Cite this document: Lefebvre, M. & Zitouni, F. (2012). General LQG homing problems in one dimension. International Journal of Stochastic Analysis, 2012, p. 1-15. doi:10.1155/2012/803724
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Abstract

Optimal control problems for one-dimensional diffusion processes in the interval (d1, d2) are considered. The aim is either to maximize or to minimize the time spent by the controlled processes in (d1, d2). Exact solutions are obtained when the processes are symmetrical with respect to d∗ ∈ (d1, d2). Approximate solutions are derived in the asymmetrical case. The one-barrier cases are also treated. Examples are presented.

Open Access document in PolyPublie
Subjects: 1600 Génie industriel > 1600 Génie industriel
1600 Génie industriel > 1601 Recherche opérationnelle et science de la gestion
Department: Département de mathématiques et de génie industriel
Research Center: Non applicable
Date Deposited: 30 Apr 2019 12:32
Last Modified: 01 May 2019 01:20
PolyPublie URL: https://publications.polymtl.ca/3643/
Document issued by the official publisher
Journal Title: International Journal of Stochastic Analysis (vol. 2012)
Publisher: Hindawi
Official URL: https://doi.org/10.1155/2012/803724

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