Article (2011)
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Abstract
Let Xt be a controlled one-dimensional standard Brownian motion starting from x ∈ (−d, d). The problem of optimally controlling X (t) until |X (t)| = d for the first time is solved explicitly in a particular case. The maximal value that the instantaneous reward given for survival in (−d, d) can take is determined.
| Subjects: |
2950 Applied mathematics > 2950 Applied mathematics 2950 Applied mathematics > 2956 Optimization and optimal control theory |
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| Department: | Department of Mathematics and Industrial Engineering |
| PolyPublie URL: | https://publications.polymtl.ca/3648/ |
| Journal Title: | International Journal of Stochastic Analysis (vol. 2011) |
| Publisher: | Hindawi |
| DOI: | 10.1155/2011/296259 |
| Official URL: | https://doi.org/10.1155/2011/296259 |
| Date Deposited: | 30 Apr 2019 13:36 |
| Last Modified: | 07 Apr 2024 02:43 |
| Cite in APA 7: | Lefebvre, M. (2011). Maximizing the mean exit time of a brownian motion from an interval. International Journal of Stochastic Analysis, 2011, 1-5. https://doi.org/10.1155/2011/296259 |
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