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Survival maximization for a Laguerre population

Mario Lefebvre

Article (2002)

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Abstract

A population whose evolution is approximately described by a Laguerre diffusion process is considered. Let Y(t) be the number of individuals alive at time t and T(y, t(0)(0)() be the first time Y(t) is equal to either 0 or d(> 0), given that Y(t)) = y is in (0, d). The aim is to minimize the expected value of a cost criterion in which the final cost is equal to 0 if Y(T) = d and to if Y(T) = 0. The case when the final cost is 0 (respectively ) if T is greater than or equal to (resp. less than) a fixed constant s is also solved explicitly. In both cases, the risk sensitivity of the optimizer is taken into account.

Uncontrolled Keywords

Brownian motion; Diffusion processes; Stochastic control; Risk sensitivity; Hitting time; Stochastic differential equation

Subjects: 2950 Applied mathematics > 2950 Applied mathematics
2950 Applied mathematics > 2960 Mathematical modelling
Department: Department of Mathematics and Industrial Engineering
Funders: CRSNG/NSERC
PolyPublie URL: https://publications.polymtl.ca/3379/
Journal Title: Mathematical Problems in Engineering (vol. 8, no. 6)
Publisher: Hindawi
DOI: 10.1080/1024123021000061944
Official URL: https://doi.org/10.1080/1024123021000061944
Date Deposited: 06 Nov 2018 13:28
Last Modified: 08 Nov 2022 21:44
Cite in APA 7: Lefebvre, M. (2002). Survival maximization for a Laguerre population. Mathematical Problems in Engineering, 8(6), 563-574. https://doi.org/10.1080/1024123021000061944

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