Mario Lefebvre, "An Optimal Landing Problem for a Bessel Process," WSEAS Transactions on Systems, vol. 23, pp. 517-520, 2024, DOI:10.37394/23202.2024.23.53
Mario Lefebvre. An Optimal Landing Problem for a Bessel Process.
WSEAS Transactions on Systems. 2024;23:517-520. 10.37394/23202.2024.23.53
WSEAS Transactions on Systems
Print ISSN: 1109-2777, E-ISSN: 2224-2678
Volume 23, 2024
An Optimal Landing Problem for a Bessel Process
Author:
Abstract: A homing problem for a one-dimensional Bessel diffusion process is considered. The aim is to bring the controlled process to a value representing ground level as quickly as possible while taking the control costs into account. The cost function includes a parameter that takes the risk sensitivity of the optimizer into account. An explicit solution is found for both the value function and the optimal control in a particular problem.
Keywords:
Stochastic control, homing problem, first-passage time, Wiener process, dynamic programming, risk parameter
Pages: 517-520 WSEAS Transactions on Systems, ISSN / E-ISSN: 1109-2777 / 2224-2678, Volume 23, 2024, Art. #53 DOI: 10.37394/23202.2024.23.53
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