The risk-sensitive homing problem

DOI10.2307/3213947MaRDI QIDQ3748179zbMATH OpenOpenAlexFDO

Authors Jonathan Kuhn

Publication date 1985

Published in Journal of Applied Probability (Search for Journal in Brave)

Full work available at URL https://doi.org/10.2307/3213947

zbMATH Keywords

first-passage-timeoptimal homingrisk-sensitive cost criterion

Mathematics Subject Classification ID

Stochastic processes (60G99) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Optimal stochastic control (93E20)

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(19)

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• Using a geometric Brownian motion to control a Brownian motion and vice versa
• A homing problem for diffusion processes with control-dependent variance.
• Stochastic bargaining models
• On the inverse LQG homing problem
• Exact and approximate solutions to LQG homing problems in one and two dimensions
• Maximizing a function of the survival time of a Wiener process in an interval
• Stochastic optimal control in a danger zone
• Risk-sensitive optimal investment policy
• Reducing a nonlinear dynamic programming equation to a kolomogorov equation
• Optimally ending an epidemic
• Exact solutions to two-dimensional homing problems
• On a pursuit problem
• A stochastic hunting model involving two countries
• Discrete homing problems
• A different class of homing problems
• Bounds for a risk-sensitive homing problem
• A boundary value problem for a non-linear difference equation
• A discrete-time homing problem with two optimizers

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