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

DOI10.1155/2011/296259zbMath1234.60084OpenAlexW1993825545WikidataQ58688900 ScholiaQ58688900MaRDI QIDQ538913

Mario Lefebvre

Publication date: 26 May 2011

Published in: International Journal of Stochastic Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1155/2011/296259

Mathematics Subject Classification ID

Brownian motion (60J65) Optimal stochastic control (93E20)

Related Items (1)

General LQG homing problems in one dimension

Cites Work

• Risk-sensitive control for a class of homing problems
• Using a geometric Brownian motion to control a Brownian motion and vice versa
• A homing problem for diffusion processes with control-dependent variance.
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