MAXIMIZING THE TIME SPENT BY A DIFFUSION PROCESS IN AN INTERVAL
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Published:2001-01
Issue:1
Volume:15
Page:69-82
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ISSN:0269-9648
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Container-title:Probability in the Engineering and Informational Sciences
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language:en
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Short-container-title:Prob. Eng. Inf. Sci.
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.
Publisher
Cambridge University Press (CUP)
Subject
Industrial and Manufacturing Engineering,Management Science and Operations Research,Statistics, Probability and Uncertainty,Statistics and Probability