Maximizing the Mean Exit Time of a Brownian Motion from an Interval
Author
Source
International Journal of Stochastic Analysis
Issue
Vol. 2011, Issue 2011 (31 Dec. 2011), pp.1-5, 5 p.
Publisher
Hindawi Publishing Corporation
Publication Date
2011-04-05
Country of Publication
Egypt
No. of Pages
5
Main Subjects
Abstract EN
Let X(t) be a controlled one-dimensional standard Brownian motion starting from x∈(−d,d).
The problem of optimally controlling X(t) until |X(t)|=d for the first time is solved explicitly in a particular case.
The maximal value that the instantaneous reward given for survival in (−d,d) can take is determined.
American Psychological Association (APA)
Lefebvre, Mario. 2011. Maximizing the Mean Exit Time of a Brownian Motion from an Interval. International Journal of Stochastic Analysis،Vol. 2011, no. 2011, pp.1-5.
https://search.emarefa.net/detail/BIM-461307
Modern Language Association (MLA)
Lefebvre, Mario. Maximizing the Mean Exit Time of a Brownian Motion from an Interval. International Journal of Stochastic Analysis No. 2011 (2011), pp.1-5.
https://search.emarefa.net/detail/BIM-461307
American Medical Association (AMA)
Lefebvre, Mario. Maximizing the Mean Exit Time of a Brownian Motion from an Interval. International Journal of Stochastic Analysis. 2011. Vol. 2011, no. 2011, pp.1-5.
https://search.emarefa.net/detail/BIM-461307
Data Type
Journal Articles
Language
English
Notes
Includes bibliographical references
Record ID
BIM-461307
