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

Mario Lefebvre

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
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: 11 Nov 2022 02:21
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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