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Maximizing or minimizing survival time in the case of random parameters
Author(s) -
Lefebvre Mario
Publication year - 2010
Publication title -
asian journal of control
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 0.769
H-Index - 53
eISSN - 1934-6093
pISSN - 1561-8625
DOI - 10.1002/asjc.199
Subject(s) - random variable , infinitesimal , interval (graph theory) , variable (mathematics) , process (computing) , variance (accounting) , control (management) , mathematical optimization , wiener process , mathematics , control variable , computer science , statistics , economics , artificial intelligence , combinatorics , mathematical analysis , accounting , operating system
We consider the problem of optimizing the time spent by a one‐dimensional controlled Wiener process in an interval I , first when the infinitesimal variance of the process is a random variable, and next when the reward or penalty given for survival in I is a random variable. In each case, the optimal control is obtained explicitly. Copyright © 2010 John Wiley and Sons Asia Pte Ltd and Chinese Automatic Control Society