MAXIMIZING THE TIME SPENT BY A DIFFUSION PROCESS IN AN INTERVAL

Authors:
Mario Lefebvre
Affiliations:
Département de mathématiques et de génie industriel, École Polytechnique de Montréal, Montréal, Québec, Canada H3C 3A7, E-mail: mlefebvre@courriel.polymtl.ca
Venue:
Probability in the Engineering and Informational Sciences
Year:
2001

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Abstract

A one-dimensional diffusion process is controlled in the interval [−d, d]. The aim is to maximize the survival time in [−d, d]. Two cost criteria, which do not depend on the control variable, are considered. Particular problems are solved explicitly.