General LQG homing problems in one dimension (Q1929683)

Summary: Optimal control problems for one-dimensional diffusion processes in the interval (\(d_1, d_2\)) are considered. The aim is either to maximize or to minimize the time spent by the controlled processes in (\(d_1, d_2\)). Exact solutions are obtained when the processes are symmetrical with respect to \(d^\ast \in (d_1, d_2)\). Approximate solutions are derived in the asymmetrical case. The one-barrier cases are also treated. Examples are presented.