LQG homing problems for processes used in financial mathematics

MaRDI QIDQ4569446zbMATH OpenFDO

Authors Mario Lefebvre

Publication date 28 June 2018

zbMATH Keywords

Bessel processCEV processfirst hitting timestochastic controlsuboptimal control

Mathematics Subject Classification ID

Financial applications of other theories (91G80) Optimal stochastic control (93E20)

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Cited in

(6)

• Explicit solution for a vector-valued LQG homing problem
• On the inverse LQG homing problem
• LQG homing for jump-diffusion processes
• Discretization processing of financial risk management using stochastic differential equation simulation method
• Optimal control of jump-diffusion processes with random parameters
• Computer virus propagation modelled as a stochastic differential game

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