| Article ID: | iaor201638 |
| Volume: | 37 |
| Issue: | 1 |
| Start Page Number: | 127 |
| End Page Number: | 138 |
| Publication Date: | Jan 2016 |
| Journal: | Optimal Control Applications and Methods |
| Authors: | Lefebvre Mario, Zitouni Foued |
| Keywords: | optimization |
Stochastic optimal control problems in which two‐dimensional diffusion processes are controlled until they enter a given set are solved explicitly. When symmetry can be used, exact solutions are obtained. The same arguments are valid for one‐dimensional processes. In the general case, it is shown how to obtain good approximate solutions. Various examples are presented.