Minimizing or maximizing the first-passage time to a time-dependent boundary

DOI10.1080/02331934.2021.1914039zbMath1486.60102OpenAlexW3153532927MaRDI QIDQ5067347

Mario Lefebvre

Publication date: 1 April 2022

Published in: Optimization (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/02331934.2021.1914039

zbMATH Keywords

game theoryBrownian motionstochastic optimal controlmethod of similarity solutions

Mathematics Subject Classification ID

Applications of optimal control and differential games (49N90) Diffusion processes (60J60)

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• First hitting time of curvilinear boundary by Wiener process
• Wiener-Poisson control problems†
• Distributed Wiener-Poisson control †
• Control of Degenerate Diffusions in R d
• Optimally ending an epidemic
• Exact solutions to the homing problem for a Wiener process with jumps

This page was built for publication: Minimizing or maximizing the first-passage time to a time-dependent boundary