Avoiding the origin: A finite-fuel stochastic control problem
成果类型：
Article
署名作者：
Jacka, S
署名单位：
University of Warwick
刊物名称：
ANNALS OF APPLIED PROBABILITY
ISSN/ISSBN：
1050-5164
发表日期：
2002
页码：
1378-1389
关键词：
摘要：
We consider a model for the control of a satellite-fuel is expended in a linear fashion to move a satellite following a diffusion-the aim being to keep the satellite above a critical level. Under suitable assumptions on the drift and diffusion coefficients, it is shown that the probability of the satellite falling below the critical level is minimized by a policy that moves the satellite a certain distance above the critical level and then imposes a reflecting boundary at this higher level until the fuel is exhausted.