Stochastic optimal control in a danger zone

Mario Lefebvre

International Journal of Systems Science, 2011, vol. 42, issue 4, 653-659

Abstract: Let X(t) be a one-dimensional controlled Wiener process, and let τ(x) be the first time X(t) takes on the value A, given that X(0) = x. The problem of finding the control that minimises the expected value of a cost function with quadratic control costs on the way and an instantaneous reward (or penalty) given for survival in the continuation region is solved explicitly in the case when A is a random variable.

Date: 2011
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DOI: 10.1080/00207720903154775

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