从一个区间最大化布朗运动的平均退出时间

International Journal of Stochastic Analysis Pub Date : 2011-04-05 DOI:10.1155/2011/296259

M. Lefebvre

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引用次数: 3

摘要

设为受控的一维标准布朗运动，从。在一个特殊情况下，明确地解决了直到第一次的最优控制问题。生存所能获得的瞬时奖励的最大值是确定的。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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Maximizing the Mean Exit Time of a Brownian Motion from an Interval

Let be a controlled one-dimensional standard Brownian motion starting from . The problem of optimally controlling until for the first time is solved explicitly in a particular case. The maximal value that the instantaneous reward given for survival in can take is determined.

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International Journal of Stochastic Analysis

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