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) |