Article ID: | iaor20023369 |
Country: | United States |
Volume: | 15 |
Issue: | 1 |
Start Page Number: | 69 |
End Page Number: | 82 |
Publication Date: | Jan 2001 |
Journal: | Probability in the Engineering and Informational Sciences |
Authors: | Lefebvre M. |
Keywords: | Diffusion processes |
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.