First‐passage densities of controlled Gaussian processes

DOI10.2307/3315527zbMath0687.60040OpenAlexW2022836389MaRDI QIDQ4206177

Mario Lefebvre

Publication date: 1989

Published in: Canadian Journal of Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.2307/3315527

zbMATH Keywords

moment generating functionstopping regionoptimal control of Gaussian processes

Mathematics Subject Classification ID

Gaussian processes (60G15) Optimal stochastic control (93E20)

Related Items (1)

Stochastic bargaining models

Cites Work

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• Reduction of a Class of Stochastic Control Problems

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