• DocumentCode
    1157528
  • Title

    A note on the survival time of a dynamic system in an interval

  • Author

    Lefebvre, Mario

  • Author_Institution
    Dept. de Math. Appliquees, Ecole Polytech., Montreal, Que., Canada
  • Volume
    37
  • Issue
    5
  • fYear
    1992
  • fDate
    5/1/1992 12:00:00 AM
  • Firstpage
    618
  • Lastpage
    620
  • Abstract
    The one-dimensional system dx(t=bu(t)dt+(ct 2)1/2dW(t), where b (≠0) and c (⩾0) are real constants and W(t ) is a standard Brownian motion, is considered. The aim is to obtain the control u* that minimizes the expected value of a cost function with terminal cost equal to 0 or +∞ depending on whether the survival time in a given region is at least equal to or less than a fixed time
  • Keywords
    Brownian motion; minimisation; optimal control; time-varying systems; cost function; dynamic system; expected value; minimisation; one-dimensional system; optimal control; standard Brownian motion; survival time; time-varying systems; Control systems; Cost function; Differential equations; Gaussian processes; Minimax techniques; Motion control; Polynomials; Robustness; Stability; Symmetric matrices;
  • fLanguage
    English
  • Journal_Title
    Automatic Control, IEEE Transactions on
  • Publisher
    ieee
  • ISSN
    0018-9286
  • Type

    jour

  • DOI
    10.1109/9.135497
  • Filename
    135497
    • Link To Document
    https://search.isc.ac/dl/search/defaultta.aspx?DTC=49&DC=1157528