A homing problem for diffusion processes with control-dependent variance
成果类型：
Article
署名作者：
Lefebvre, M
署名单位：
Universite de Montreal; Polytechnique Montreal
刊物名称：
ANNALS OF APPLIED PROBABILITY
ISSN/ISSBN：
1050-5164
DOI：
10.1214/105051604000000107
发表日期：
2004
页码：
786-795
关键词：
摘要：
Controlled one-dimensional diffusion processes, with infinitesimal variance (instead of the infinitesimal mean) depending on the control variable, are considered in an interval located on the positive half-line. The process is controlled until it reaches either end of the interval. The aim is to minimize the expected value of a cost criterion with quadratic control costs on the way and a final cost equal to zero (resp. a large constant) if the process exits the interval through its left (resp. right) end point. Explicit expressions are obtained both for the optimal value of the control variable and the value function when the infinitesimal parameters of the processes are proportional to a power of the state variable.