Exact solutions to optimal control problems for Wiener processes with exponential jumps

DOI10.31390/JOSA.2.2.01MaRDI QIDQ6923023zbMATH OpenFDO

Authors Mario Lefebvre

Publication date 30 September 2025

Published in Journal of Stochastic Analysis (Search for Journal in Brave)

Full work available at URL https://doi.org/10.31390/JOSA.2.2.01

zbMATH Keywords

Brownian motionintegro-differential equationLQG homingPoisson processRST-passage time

Mathematics Subject Classification ID

Nonlinear ordinary differential equations and systems (34A34) Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55) Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.) (60J70) Optimal stochastic control (93E20)

Cites work

• Exact solutions to the homing problem for a Wiener process with jumps
• scientific article; zbMATH DE number 3889341 (Why is no real title available?)
• scientific article; zbMATH DE number 48691 (Why is no real title available?)
• LQG homing for jump-diffusion processes
• Minimizing the time spent in an interval by a Wiener process with uniform jumps
• On first-passage times for one-dimensional jump-diffusion processes

Cited in

(1)

• On a non-linear differential-integral equation

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