Controlling a two-dimensional diffusion process at most until a fixed time

DOI10.1080/02331934.2011.635206MaRDI QIDQ5746735zbMATH OpenOpenAlexFDO

Authors Mario Lefebvre

Publication date 7 February 2014

Published in Optimization (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/02331934.2011.635206

zbMATH Keywords

hitting timeKolmogorov backward equationwear processLQG homing

Mathematics Subject Classification ID

Optimal stochastic control (93E20)

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Cites work

• scientific article; zbMATH DE number 3889341 (Why is no real title available?)
• scientific article; zbMATH DE number 48691 (Why is no real title available?)
• scientific article; zbMATH DE number 3240796 (Why is no real title available?)
• scientific article; zbMATH DE number 3273551 (Why is no real title available?)
• Applied stochastic processes.
• Risk-sensitive control for a class of homing problems

Cited in

(7)

• Maximizing a function of the survival time of a Wiener process in an interval
• Controlling a stopped diffusion process to reach a goal
• Control of a Diffusion by Switching between Two Drift-Diffusion Coefficient Pairs
• Optimal control problems for diffusion processes with random parameters
• Minimizing or maximizing the first-passage time to a time-dependent boundary
• Maximizing the time spent by a diffusion process in an interval
• Remarks on a controlled degenerate diffusion process

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