General LQG Homing Problems in One Dimension

Mario Lefebvre and Foued Zitouni

International Journal of Stochastic Analysis, 2012, vol. 2012, 1-20

Abstract:

Optimal control problems for one-dimensional diffusion processes in the interval ( ) are considered. The aim is either to maximize or to minimize the time spent by the controlled processes in ( ). Exact solutions are obtained when the processes are symmetrical with respect to . Approximate solutions are derived in the asymmetrical case. The one-barrier cases are also treated. Examples are presented.

Date: 2012
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Persistent link: https://EconPapers.repec.org/RePEc:hin:jnijsa:803724

DOI: 10.1155/2012/803724

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