An Inverse Stochastic Optimal Control Problem

dc.contributor.author	LEFEBVRE, Mario
dc.date.accessioned	2022-12-28T11:09:07Z
dc.date.available	2022-12-28T11:09:07Z
dc.date.issued	2022
dc.identifier.citation	LEFEBVRE, Mario. An Inverse Stochastic Optimal Control Problem. In: Electronics, Communications and Computing (IC ECCO-2022): 12th intern. conf., 20-21 Oct. 2022, Chişinău, Republica Moldova: conf. proc., Chişinău, 2022, pp. 190-193.	en_US
dc.identifier.uri	https://doi.org/10.52326/ic-ecco.2022/CS.09
dc.identifier.uri	http://repository.utm.md/handle/5014/21855
dc.description.abstract	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.	en_US
dc.language.iso	en	en_US
dc.publisher	Technical University of Moldova	en_US
dc.rights	Attribution-NonCommercial-NoDerivs 3.0 United States	*
dc.rights.uri	http://creativecommons.org/licenses/by-nc-nd/3.0/us/	*
dc.subject	homing problem	en_US
dc.subject	Poisson random jumps	en_US
dc.subject	first-passage time	en_US
dc.subject	integro-differential equation	en_US
dc.subject	dynamic programming	en_US
dc.title	An Inverse Stochastic Optimal Control Problem	en_US
dc.type	Article	en_US