- Tytuł:
- Minimizing the time spent in an interval by a Wiener process with uniform jumps
- Autorzy:
- Lefebvre, Mario
- Powiązania:
- https://bibliotekanauki.pl/articles/1839133.pdf
- Data publikacji:
- 2019
- Wydawca:
- Polska Akademia Nauk. Instytut Badań Systemowych PAN
- Tematy:
-
Brownian motion
Poisson process
first-passage time
optimal stochastic control
integro-differential equation - Opis:
- Let Xu(t) be a controlled Wiener process with jumps that are uniformly distributed over the interval [−c, c]. The aim is to minimize the time spent by Xu(t) in the interval [a, b]. The integro- differential equation, satisfied by the value function, is transformed into an ordinary differential equation and is solved explicitly for a particular case. The approximate solution obtained is precise when c is small.
- Źródło:
-
Control and Cybernetics; 2019, 48, 3; 407-415
0324-8569 - Pojawia się w:
- Control and Cybernetics
- Dostawca treści:
- Biblioteka Nauki
Artykuł