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The LQG homing problem for a Wiener process with random infinitesimal parameters

Lefebvre Mario, Moutassim Abderrazak

Archives of Control Sciences

2019

Vol. 29, No. 3

413--422

The problem of optimally controlling a Wiener process until it leaves an interval (a, b) for the first time is considered in the case when the infinitesimal parameters of the process are random. When a = -∞, the exact optimal control is derived by solving the appropriate system of differential equations, whereas a very precise approximate solution in the form of a polynomial is obtained in the two-barrier case.