Maximizing the time spent by a diffusion process in an interval

Authors
Lefebvre, M
Citation
M. Lefebvre, Maximizing the time spent by a diffusion process in an interval, PROB ENG I, 15(1), 2001, pp. 69-82
Citations number
13
Categorie Soggetti
Engineering Mathematics
Journal title
PROBABILITY IN THE ENGINEERING AND INFORMATIONAL SCIENCES
ISSN journal
02699648 → ACNP
Volume
15
Issue
1
Year of publication
2001
Pages
69 - 82
Database
ISI
SICI code
0269-9648(2001)15:1<69:MTTSBA>2.0.ZU;2-X
Abstract
A one-dimensional diffusion process is controlled in the interval [-d,d]. T he aim is to maximize the survival time in [-d, d]. Two cost criteria, whic h do not depend on the control variable, are considered. Particular problem s are solved explicitly.