General LQG Homing Problems in One Dimension. (2nd October 2012)

• Record Type: Journal Article
• Authors: Lefebvre, Mario; Zitouni, Foued
• Other Names: Yong Jiongmin Academic Editor.
• Is Part Of: International journal of stochastic analysis. Volume 2012(2012)
• Publication Date: 2012-10-02
• Subjects: Stochastic analysis -- Periodicals; Stochastic analysis; Periodicals; 519.22
• DOI: 10.1155/2012/803724
• Languages: English
• ISSNs: 2090-3332

Abstract

Abstract : Optimal control problems for one-dimensional diffusion processes in the interval (d 1, d 2 ) are considered. The aim is either to maximize or to minimize the time spent by the controlled processes in (d 1, d 2 ). Exact solutions are obtained when the processes are symmetrical with respect tod ∗ ∈ ( d 1, d 2 ) . Approximate solutions are derived in the asymmetrical case. The one-barrier cases are also treated. Examples are presented.