Controlling a stopped diffusion process to reach a goal

DOI10.1016/J.SPL.2010.03.019MaRDI QIDQ984013zbMATH OpenOpenAlexFDO

Authors Cloud Makasu

Publication date 13 July 2010

Published in Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.spl.2010.03.019

zbMATH Keywords

geometric Brownian motionoptimal stochastic control problem

Mathematics Subject Classification ID

Diffusion processes (60J60) Applications of optimal control and differential games (49N90) Control/observation systems governed by partial differential equations (93C20) Optimal stochastic control (93E20)

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Cites work

• scientific article; zbMATH DE number 3505708 (Why is no real title available?)
• Continuous-Time Casino Problems
• Continuous-Time Red and Black: How to Control a Diffusion to a Goal
• Controlling a Process to a Goal in Finite Time
• On mean exit time from a curvilinear domain
• Stochastic differential equations. An introduction with applications.

Cited in

(1)

• Controlling a two-dimensional diffusion process at most until a fixed time

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