| 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.