Maximizing the mean exit time of a Brownian motion from an interval (Q538913): Difference between revisions
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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. | |||
| Property / review text: 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. / rank | |||
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| Property / Mathematics Subject Classification ID | |||
| Property / Mathematics Subject Classification ID: 60J65 / rank | |||
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| Property / Mathematics Subject Classification ID | |||
| Property / Mathematics Subject Classification ID: 93E20 / rank | |||
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| Property / zbMATH DE Number | |||
| Property / zbMATH DE Number: 5900138 / rank | |||
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Revision as of 10:43, 1 July 2023
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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