Optimal control problems for diffusion processes with random parameters

MaRDI QIDQ5235041zbMATH OpenFDO

Authors Abderrazak Moutassim, Mario Lefebvre

Publication date 7 October 2019

Full work available at URL http://www.mathem.pub.ro/proc/bsgp-26/K26-lf-ZG31.pdf

zbMATH Keywords

dynamic programmingOrnstein-Uhlenbeck processfirst-passage timeLQG homing

Mathematics Subject Classification ID

Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.) (60J70) Optimal stochastic control (93E20)

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