LQG homing problems for processes used in financial mathematics

zbMATH Open1399.91148MaRDI QIDQ4569446FDOQ4569446

Authors: Mario Lefebvre 

Publication date: 28 June 2018

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zbMATH Keywords

CEV processfirst hitting timestochastic controlBessel processsuboptimal control

Mathematics Subject Classification ID

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

Cited In (6)

• Computer virus propagation modelled as a stochastic differential game
• 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
• Explicit solution for a vector-valued LQG homing problem
• On the inverse LQG homing problem

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