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 = ��1, 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.

JO - Archives of Control Sciences L1 - http://journals.pan.pl/Content/113681/PDF/01_ACS-2019-3-INTERNET.pdf L2 - http://journals.pan.pl/Content/113681 IS - No 3 EP - 413–422 KW - stochastic optimal control KW - first-passage time KW - dynamic programming KW - Brownian motion ER - A1 - Lefebvre, Mario A1 - Moutassim, Abderrazak PB - Committee of Automatic Control and Robotics PAS VL - vol. 29 JF - Archives of Control Sciences SP - 413–422 T1 - The LQG homing problem for a Wiener process with random infinitesimal parameters UR - http://journals.pan.pl/dlibra/docmetadata?id=113681 DOI - 10.24425/acs.2019.130198