Using a geometric Brownian motion to control a Brownian motion and vice versa-Reference-Cited by-同舟云学术

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Using a geometric Brownian motion to control a Brownian motion and vice versa

Published:1997-07 Issue:1 Volume:69 Page:71-82
ISSN:0304-4149
Container-title:Stochastic Processes and their Applications
language:en
Short-container-title:Stochastic Processes and their Applications

Author:

Lefebvre Mario

Publisher

Elsevier BV

Subject

Applied Mathematics,Modeling and Simulation,Statistics and Probability

Reference8 articles.

1. A Second Course in Stochastic Processes;Karlin,1981

2. The risk-sensitive homing problem;Kuhn;J. Appl. Probab.,1985

3. Optimal control of an Ornstein-Uhlenbeck process;Lefebvre;Stochastic Process. Appl.,1987

Cited by 6 articles. 订阅此论文施引文献订阅此论文施引文献，注册后可以免费订阅5篇论文的施引文献，订阅后可以查看论文全部施引文献

1. General LQG Homing Problems in One Dimension;International Journal of Stochastic Analysis;2012-10-02

2. Explicit solution for a vector-valued LQG homing problem;Optimization Letters;2011-12-21

3. Maximizing the Mean Exit Time of a Brownian Motion from an Interval;International Journal of Stochastic Analysis;2011-04-05

4. Optimal proportional reinsurance model with transaction costs;Journal of Applied Mathematics and Computing;2008-06-27

5. Probabilistic Solutions to Optimal Control Problems;Optimization;2002-01

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