Maximizing the mean exit time of a Brownian motion from an interval (Q538913): Difference between revisions
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Revision as of 00:34, 5 March 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Maximizing the mean exit time of a Brownian motion from an interval |
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Maximizing the mean exit time of a Brownian motion from an interval (English)
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26 May 2011
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Summary: Let \(X(t)\) be a controlled one-dimensional standard Brownian motion starting from \(x\in(-d,d)\). The problem of optimally controlling \(X(t)\) until \(|X(t)|=d\) for the first time is solved explicitly in a particular case. The maximal value that the instantaneous reward given for survival in \((-d,d)\) can take is determined.
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