Maximizing the time spent by a diffusion process in an interval

Maximizing the time spent by a diffusion process in an interval

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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:
Keywords: Diffusion processes
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.

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