Using a geometric Brownian motion to control a Brownian motion and vice versa

DOI10.1016/S0304-4149(97)00040-9zbMath0911.60040OpenAlexW2062991246MaRDI QIDQ1275935

Mario Lefebvre

Publication date: 14 January 1999

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/s0304-4149(97)00040-9

zbMATH Keywords

stochastic optimal controlgeometric Brownian motionhoming problem

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10)

Related Items (4)

General LQG homing problems in one dimension ⋮ Explicit solution for a vector-valued LQG homing problem ⋮ Optimal proportional reinsurance model with transaction costs ⋮ Maximizing the mean exit time of a Brownian motion from an interval

Cites Work

• Moment generating function of a first hitting place for the integrated Ornstein-Uhlenbeck process
• The risk-sensitive homing problem
• Reduction of a Class of Stochastic Control Problems
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