General LQG Homing Problems in One Dimension-Reference-Cited by-同舟云学术

General LQG Homing Problems in One Dimension

Published:2012-10-02 Issue: Volume:2012 Page:1-20
ISSN:2090-3332
Container-title:International Journal of Stochastic Analysis
language:en
Short-container-title:International Journal of Stochastic Analysis

Author:

Lefebvre Mario¹,Zitouni Foued²

Affiliation:

1. Département de Mathématiques et de Génie Industriel, École Polytechnique, C.P.6079, Succursale Centre-ville, Montréal, QC, Canada H3C 3A7

2. Département de Mathématiques et de Statistique, Université de Montréal, C.P.6128, Succursale Centre-ville, Montréal, QC, Canada H3C 3J7

Abstract

Optimal control problems for one-dimensional diffusion processes in the interval (d1,d2) are considered. The aim is either to maximize or to minimize the time spent by the controlled processes in (d1,d2). Exact solutions are obtained when the processes are symmetrical with respect to d∗∈(d1,d2). Approximate solutions are derived in the asymmetrical case. The one-barrier cases are also treated. Examples are presented.

Publisher

Hindawi Limited

Subject

Applied Mathematics,Modelling and Simulation,Statistics and Probability,Analysis

Link

http://downloads.hindawi.com/archive/2012/803724.pdf

Reference8 articles.

1. Maximizing the Mean Exit Time of a Brownian Motion from an Interval

2. Using a geometric Brownian motion to control a Brownian motion and vice versa

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