LQG homing for jump-diffusion processes

MaRDI QIDQ2941362zbMATH OpenFDO

Authors Mario Lefebvre

Publication date 27 August 2015

zbMATH Keywords

Brownian motiondifferential-difference equationfirst-passage timeoptimal stochastic controlPoisson process

Mathematics Subject Classification ID

Optimal stochastic control (93E20)

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• General LQG homing problems in one dimension
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Cited in

(14)

• Moments of first-passage places for jump-diffusion processes
• The ruin problem for a Wiener process with state-dependent jumps
• Linear quadratic Gaussian homing for Markov processes with regime switching and applications to controlled population growth/decay
• On the inverse LQG homing problem
• LQG homing problems for processes used in financial mathematics
• Minimizing or maximizing the first-passage time to a time-dependent boundary
• First-passage problems for diffusion processes with state-dependent jumps
• Exact solutions to the homing problem for a Wiener process with jumps
• The LQG homing problem for a Wiener process with random infinitesimal parameters
• Iterative path integral approach to nonlinear stochastic optimal control under compound Poisson noise
• Applied stochastic control of jump diffusions
• Optimal control of jump-diffusion processes with random parameters
• Exact solutions to optimal control problems for Wiener processes with exponential jumps
• Exit problems for jump-diffusion processes with uniform jumps

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