Stochastic optimal control in a danger zone

DOI10.1080/00207720903154775zbMath1233.93103OpenAlexW1963918987MaRDI QIDQ3006203

Mario Lefebvre

Publication date: 10 June 2011

Published in: International Journal of Systems Science (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/00207720903154775

zbMATH Keywords

one-dimensional controlled Wiener processquadratic control costs

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Optimal stochastic control (93E20) Linear-quadratic optimal control problems (49N10)

Cites Work

• Optimal control of tumor size used to maximize survival time when cells are resistant to chemotherapy
• A homing problem for diffusion processes with control-dependent variance.
• The risk-sensitive homing problem
• Survival and Growth with a Liability: Optimal Portfolio Strategies in Continuous Time
• Exact solutions to two-dimensional homing problems

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