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Maximizing the Mean Exit Time of a Brownian Motion from an Interval
Author(s) -
Mario Lefebvre
Publication year - 2011
Publication title -
international journal of stochastic analysis
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 0.19
H-Index - 28
eISSN - 2090-3340
pISSN - 2090-3332
DOI - 10.1155/2011/296259
Subject(s) - algorithm , computer science
Let X(t) be a controlled one-dimensional standard Brownian motion starting from x∈(−d,d). The problem of optimally controlling X(t) until |X(t)|=d for the first time is solved explicitly in a particular case. The maximal value that the instantaneous reward given for survival in (−d,d) can take is determined

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