Maximizing a Function of the Survival Time of aWiener Process in an Interval
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Publication:2914793
DOI10.1007/978-3-642-22368-6_8zbMath1250.93127MaRDI QIDQ2914793
Publication date: 21 September 2012
Published in: Stochastic Differential Equations and Processes (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/978-3-642-22368-6_8
stochastic differential equation; one-dimensional Wiener process; two-dimensional degenerate diffusion process
60H10: Stochastic ordinary differential equations (aspects of stochastic analysis)
93E20: Optimal stochastic control
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