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MAXIMIZING THE TIME SPENT BY A DIFFUSION PROCESS IN AN INTERVAL

Published online by Cambridge University Press:  07 February 2001

Mario Lefebvre
Mario Lefebvre
Affiliation:
Département de mathématiques et de génie industriel, École Polytechnique de Montréal, Montréal, Québec, Canada H3C 3A7, E-mail: mlefebvre@courriel.polymtl.ca
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Abstract

A one-dimensional diffusion process is controlled in the interval [−d, d]. The aim is to maximize the survival time in [−d, d]. Two cost criteria, which do not depend on the control variable, are considered. Particular problems are solved explicitly.

Type
Research Article
Information
Probability in the Engineering and Informational Sciences , Volume 15 , Issue 1 , January 2001 , pp. 69 - 82
Copyright
© 2001 Cambridge University Press

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