Homing Problems With Control in the Diffusion Coefficient

• 成果类型: Article
• 署名作者: Makasu, Cloud
• 署名单位: University of the Western Cape
• 刊物名称: IEEE TRANSACTIONS ON AUTOMATIC CONTROL
• ISSN/ISSBN: 0018-9286
• DOI: 10.1109/TAC.2022.3157077
• 发表日期: 2022
• 页码: 3770-3772
• 关键词: costs; optimal control; Diffusion processes; PROCESS CONTROL; Boundary value problems; STANDARDS; optimization; Bessel process; Bihari integral inequality; homing problem

摘要

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 the end-points of the given interval. Bounds for the value function and the optimal control in question are established under certain conditions. The present results extend and complement an earlier result proved by Lefebvre (2004).