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The risk-sensitive homing problem. (English) Zbl 0607.93065

Given a stochastically driven controlled vector differential equation, the problem is to minimize the expected cost incurred up to a time \(\tau\) of first entry into a termination set D being a prescribed subset of the state space. For a risk-sensitive cost criterion there is shown how the optimally controlled risk-sensitive problem can be simplified, under certain conditions, to an uncontrolled first-passage-time problem.
Reviewer: K.Marti

MSC:

93E20 Optimal stochastic control
60G99 Stochastic processes
60H10 Stochastic ordinary differential equations (aspects of stochastic analysis)
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