Mario Lefebvre
and Foued Zitouni
Article (2012)
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Abstract
Optimal control problems for one-dimensional diffusion processes in the interval (d1, d2) are considered. The aim is either to maximize or to minimize the time spent by the controlled processes in (d1, d2). Exact solutions are obtained when the processes are symmetrical with respect to d∗ ∈ (d1, d2). Approximate solutions are derived in the asymmetrical case. The one-barrier cases are also treated. Examples are presented.
| Department: | Department of Mathematics and Industrial Engineering |
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| PolyPublie URL: | https://publications.polymtl.ca/3643/ |
| Journal Title: | International Journal of Stochastic Analysis (vol. 2012) |
| Publisher: | Hindawi |
| DOI: | 10.1155/2012/803724 |
| Official URL: | https://doi.org/10.1155/2012/803724 |
| Date Deposited: | 30 Apr 2019 12:32 |
| Last Modified: | 07 Jan 2026 22:31 |
| Cite in APA 7: | Lefebvre, M., & Zitouni, F. (2012). General LQG homing problems in one dimension. International Journal of Stochastic Analysis, 2012, 803724 (15 pages). https://doi.org/10.1155/2012/803724 |
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