Exact solutions to the homing problem for a Wiener process with jumps

DOI10.1080/02331934.2019.1711084zbMath1467.93331OpenAlexW2999316301MaRDI QIDQ5151539

Abderrazak Moutassim, Mario Lefebvre

Publication date: 19 February 2021

Published in: Optimization (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/02331934.2019.1711084

zbMATH Keywords

Brownian motionPoisson processoptimal stochastic controldifferential-difference equationfirst-passage time

Mathematics Subject Classification ID

Optimal stochastic control (93E20) Control/observation systems governed by ordinary differential equations (93C15) Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.) (60J70)

Related Items (1)

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

Cites Work

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