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Optimization
A Journal of Mathematical Programming and Operations Research
Volume 29, 1994 - Issue 1
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Original Articles

Lqg problems with a possibly infinite final cost

Pages 73-79 | Published online: 20 Mar 2007

References

  • Lefebvre , M. 1991 . Forcing a stochastic process to stay in or to leave a given region . Ann. Appl. Prob , 1 : 167 – 172 .
  • Whittle , P. 1982 . “ Optimization over time ” . Vol. 1 , Chichester : Wiley .
  • Lefebvre , M. 1986 . Optimal stochastic control of a class of processes with an exponential cost function . Ann. Sci. Math. Québec , 10 : 181 – 187 .
  • Lefebvre , M. 1990 . Hitting lines at minimal cost with a Gaussian process . Automatica , 26 : 435 – 436 .
  • Cox , D.R. and Miller , H.D. 1965 . The theory of stochastic processes , London : Methuen .
  • Capocelli , R.M. and Ricciardi , L.M. 1972 . On the inverse of the first passage time probability problem . J. Appl. Prob , 9 : 272 – 287 .
  • Abramowitz , M. and Stegun , I.A. 1965 . Handbook of mathematical functions with formulas, graphs, and mathematical tables , New York : Dover .

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