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Maximizing the mean exit time of a brownian motion from an interval

Mario Lefebvre

Article (2011)

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Cite this document: Lefebvre, M. (2011). Maximizing the mean exit time of a brownian motion from an interval. International Journal of Stochastic Analysis, 2011, p. 1-5. doi:10.1155/2011/296259
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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.

Open Access document in PolyPublie
Subjects: 2950 Mathématiques appliquées > 2950 Mathématiques appliquées
2950 Mathématiques appliquées > 2956 Optimisation et théories de commande optimale
Department: Département de mathématiques et de génie industriel
Research Center: Non applicable
Date Deposited: 30 Apr 2019 13:36
Last Modified: 01 May 2019 01:20
PolyPublie URL: https://publications.polymtl.ca/3648/
Document issued by the official publisher
Journal Title: International Journal of Stochastic Analysis (vol. 2011)
Publisher: Hindawi
Official URL: https://doi.org/10.1155/2011/296259

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