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The risk-sensitive homing problem

Published online by Cambridge University Press:  14 July 2016

Jonathan Kuhn
Jonathan Kuhn*
Affiliation:
University of Cambridge
*
∗ Postal address: Statistical Laboratory, 16 Mill Lane, Cambridge CB2 1SB, UK.
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Abstract

The ‘homing' optimal control problem, described in Whittle and Gait (1970), is given a risk-sensitive formulation. It is shown that the reduction of an optimally controlled homing problem to the treatment of an uncontrolled process, demonstrated by Whittle and Gait, can be achieved in the risk-sensitive case. Two scalar problems are analyzed in detail.

Keywords

OPTIMAL HOMINGFIRST PASSAGE
Type
Research Papers
Information
Journal of Applied Probability , Volume 22 , Issue 4 , December 1985 , pp. 796 - 803
Copyright
Copyright © Applied Probability Trust 1985 

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References

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