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Zbl 1183.93128
Makasu, Cloud
Risk-sensitive control for a class of homing problems. (English)
[J] Automatica 45, No. 10, 2454-2455 (2009). ISSN 0005-1098

Summary: A result of {\it M. Lefebvre} [Syst. Control Lett. 42, No.~5, 347--352 (2001; Zbl 0974.93071)] is here extended to a two-dimensional homing problem with a risk-sensitive cost criterion. It is shown that the optimal control is given explicitly, and moreover, the optimal value function has a simple probabilistic representation associated with a backward stochastic differential equation with a random terminal time.

MSC 2000:: *93E20 Optimal stochastic control (systems)
60H10 Stochastic ordinary differential equations

Keywords: backward stochastic differential equation; first-passage time; homing problems

Citations: Zbl 0974.93071

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