Minimizing or maximizing the first-passage time to a time-dependent boundary

DOI10.1080/02331934.2021.1914039zbMATH Open1486.60102OpenAlexW3153532927MaRDI QIDQ5067347FDOQ5067347

Authors: Mario Lefebvre 

Publication date: 1 April 2022

Published in: Optimization (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/02331934.2021.1914039

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zbMATH Keywords

game theoryBrownian motionstochastic optimal controlmethod of similarity solutions

Mathematics Subject Classification ID

Diffusion processes (60J60) Applications of optimal control and differential games (49N90)

Cites Work

• Title not available (Why is that?)
• Title not available (Why is that?)
• Control of Degenerate Diffusions in R d
• First hitting time of curvilinear boundary by Wiener process
• Optimally ending an epidemic
• LQG homing for jump-diffusion processes
• New nonlinear inequalities and application to control systems
• Distributed Wiener-Poisson control †
• Wiener-Poisson control problems†
• Exact solutions to the homing problem for a Wiener process with jumps

Cited In (4)

• Optimizing a variable-rate diffusion to hit an infinitesimal target at a set time
• Controlling a two-dimensional diffusion process at most until a fixed time
• A boundary value problem for a non-linear difference equation
• Maximizing the time spent by a diffusion process in an interval

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