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Maximizing the time spent by a diffusion process in an interval - MaRDI portal

Maximizing the time spent by a diffusion process in an interval

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Publication:2713004

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DOI10.1017/S0269964801151053zbMATH Open0980.60101OpenAlexW2008051519MaRDI QIDQ2713004

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

dynamic programming controlled diffusion survival time

Mathematics Subject Classification ID

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

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