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 SM ISO690:2012LEFEBVRE, Mario. An Inverse Stochastic Optimal Control Problem. In: Electronics, Communications and Computing, Ed. 12, 20-21 octombrie 2022, Chişinău. Chișinău: Tehnica-UTM, 2023, Editia 12, pp. 190-193. DOI: https://doi.org/10.52326/ic-ecco.2022/CS.09 |
| EXPORT metadate: Google Scholar Crossref CERIF DataCite Dublin Core |
| Electronics, Communications and Computing Editia 12, 2023 |
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Conferința "Electronics, Communications and Computing" 12, Chişinău, Moldova, 20-21 octombrie 2022 | ||||||
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| DOI:https://doi.org/10.52326/ic-ecco.2022/CS.09 | ||||||
| Pag. 190-193 | ||||||
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The problem of controlling a compound Poisson process until it leaves an interval is considered. In this paper, instead of choosing the density function of the jumps and trying to find the corresponding value function, from which the optimal control follows at once, we consider the inverse problem: we fix the value of the value function and we look for admissible density functions for the jumps. |
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| Cuvinte-cheie homing problem, Poisson random jumps, first-passage time, integro-differential equation, dynamic programming |
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