Maximizing the time spent by a diffusion process in an interval

DOI10.1017/S0269964801151053MaRDI QIDQ2713004zbMATH OpenOpenAlexFDO

Authors Mario Lefebvre

Publication date 8 July 2001

Published in Probability in the Engineering and Informational Sciences (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1017/s0269964801151053

zbMATH Keywords

controlled diffusiondynamic programmingsurvival time

Mathematics Subject Classification ID

Diffusion processes (60J60) Optimal stochastic control (93E20)

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Cited in

(9)

• Controlling the occupation time of an exponential martingale
• Survival optimization for a diffusion process
• Maximizing a function of the survival time of a Wiener process in an interval
• Forcing a controlled diffusion process to leave through the right end of an interval
• Control of a Diffusion by Switching between Two Drift-Diffusion Coefficient Pairs
• Optimizing a variable-rate diffusion to hit an infinitesimal target at a set time
• Minimizing the time spent in an interval by a Wiener process with uniform jumps
• Minimizing or maximizing the first-passage time to a time-dependent boundary
• Controlling a two-dimensional diffusion process at most until a fixed time

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