Using a geometric Brownian motion to control a Brownian motion and vice versa

DOI10.1016/S0304-4149(97)00040-9zbMATH Open0911.60040OpenAlexW2062991246MaRDI QIDQ1275935FDOQ1275935

Mario Lefebvre

Publication date: 14 January 1999

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/s0304-4149(97)00040-9

zbMATH Keywords

geometric Brownian motionstochastic optimal controlhoming problem

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10)

Cites Work

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• The risk-sensitive homing problem
• Reduction of a Class of Stochastic Control Problems
• Moment generating function of a first hitting place for the integrated Ornstein-Uhlenbeck process

Cited In (4)

• Maximizing the mean exit time of a Brownian motion from an interval
• General LQG homing problems in one dimension
• Explicit solution for a vector-valued LQG homing problem
• Optimal proportional reinsurance model with transaction costs

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