Maximizing the mean exit time of a Brownian motion from an interval (Q538913)

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.