Maximizing a Function of the Survival Time of aWiener Process in an Interval

DOI10.1007/978-3-642-22368-6_8zbMath1250.93127OpenAlexW173103543MaRDI QIDQ2914793

Mario Lefebvre

Publication date: 21 September 2012

Published in: Stochastic Differential Equations and Processes (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/978-3-642-22368-6_8

zbMATH Keywords

stochastic differential equationone-dimensional Wiener processtwo-dimensional degenerate diffusion process

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Optimal stochastic control (93E20)

Cites Work

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• Applied stochastic processes.
• Risk-sensitive control for a class of homing problems
• A homing problem for diffusion processes with control-dependent variance.
• The risk-sensitive homing problem
• Controlling a two-dimensional diffusion process at most until a fixed time

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