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

DOI10.1080/02331934.2021.1914039MaRDI QIDQ5067347zbMATH OpenOpenAlexFDO

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

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)

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Cites work

• scientific article; zbMATH DE number 3889341 (Why is no real title available?)
• scientific article; zbMATH DE number 48691 (Why is no real title available?)
• Control of Degenerate Diffusions in R d
• Distributed Wiener-Poisson control †
• Exact solutions to the homing problem for a Wiener process with jumps
• First hitting time of curvilinear boundary by Wiener process
• LQG homing for jump-diffusion processes
• New nonlinear inequalities and application to control systems
• Optimally ending an epidemic
• Wiener-Poisson control problems†

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
• Maximizing the time spent by a diffusion process in an interval
• A boundary value problem for a non-linear difference equation

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