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

Mario Lefebvre

International Journal of Stochastic Analysis, 2011, vol. 2011, 1-5

Abstract:

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.

Date: 2011
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Persistent link: https://EconPapers.repec.org/RePEc:hin:jnijsa:296259

DOI: 10.1155/2011/296259

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