Exact solutions to the homing problem for a Wiener process with jumps
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DOI: 10.1080/02331934.2019.1711084
Abstract: We consider the problem of optimally controlling a one-dimensional Wiener process with Poissonian jumps until it leaves the interval . The exact optimal control is obtained in a particular case by solving the differential-difference equation… read more here.
Keywords: solutions homing; exact solutions; problem; wiener process ... See more keywords