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Let be a one-dimensional controlled diffusion process, and be a deterministic process. Various models are considered for . The optimizer tries to bring the ratio to a certain value d… Click to show full abstract
Let be a one-dimensional controlled diffusion process, and be a deterministic process. Various models are considered for . The optimizer tries to bring the ratio to a certain value d as soon as possible. There is also a second optimizer whose aim is to prevent the ratio from reaching d as long as possible. Explicit solutions are obtained. The particular case when the control variables are assumed to be constants and the general case are treated.
Keywords:
time;
maximizing first;
passage time;
minimizing maximizing;
first passage;
time time
Journal Title: Optimization
Year Published: 2021
Link to full text (if available)
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Journal Title: Optimization
Year Published: 2021
Link to full text (if available)
Share on Social Media: Sign Up to like & get
recommendations!