The risk-sensitive homing problem

DOI10.2307/3213947zbMath0607.93065OpenAlexW2519296487MaRDI QIDQ3748179

Jonathan Kuhn

Publication date: 1985

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

Full work available at URL: https://doi.org/10.2307/3213947

zbMATH Keywords

first-passage-timeoptimal homingrisk-sensitive cost criterion

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Optimal stochastic control (93E20) Stochastic processes (60G99)

Related Items (15)

A homing problem for diffusion processes with control-dependent variance. ⋮ Stochastic bargaining models ⋮ Exact solutions to two-dimensional homing problems ⋮ Maximizing a Function of the Survival Time of aWiener Process in an Interval ⋮ Risk-sensitive optimal investment policy ⋮ On a pursuit problem ⋮ On the inverse LQG homing problem ⋮ A stochastic hunting model involving two countries ⋮ Optimally ending an epidemic ⋮ Stochastic optimal control in a danger zone ⋮ Reducing a nonlinear dynamic programming equation to a kolomogorov equation ⋮ A different class of homing problems ⋮ Exact and approximate solutions to LQG homing problems in one and two dimensions ⋮ Using a geometric Brownian motion to control a Brownian motion and vice versa ⋮ Risk-sensitive control for a class of homing problems

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