A homing problem for diffusion processes with control-dependent variance.

DOI10.1214/105051604000000107zbMath1061.93099arXivmath/0405286OpenAlexW2071000763MaRDI QIDQ1879890

Mario Lefebvre

Publication date: 15 September 2004

Published in: The Annals of Applied Probability (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/math/0405286

zbMATH Keywords

optimal controlstochastic differential equationBrownian motiondiffusion processesvalue functionhitting timedynamic programming equationhitting placecontrol-dependent variance

Mathematics Subject Classification ID

Optimal stochastic control (93E20) Diffusion processes (60J60)

Related Items (4)

Maximizing a Function of the Survival Time of aWiener Process in an Interval ⋮ General LQG homing problems in one dimension ⋮ Stochastic optimal control in a danger zone ⋮ Maximizing the mean exit time of a Brownian motion from an interval

Cites Work

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• The risk-sensitive homing problem
• Reducing a nonlinear dynamic programming equation to a kolomogorov equation
• A different class of homing problems

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