Mario Lefebvre, "First-hitting Place Optimization Problems for Two-dimensional Degenerate Diffusion Processes," WSEAS Transactions on Systems and Control, vol. 19, pp. 353-359, 2024, DOI:10.37394/23203.2024.19.37
Mario Lefebvre. First-hitting Place Optimization Problems for Two-dimensional Degenerate Diffusion Processes.
WSEAS Transactions on Systems and Control. 2024;19:353-359. 10.37394/23203.2024.19.37
WSEAS Transactions on Systems and Control
Print ISSN: 1991-8763, E-ISSN: 2224-2856
Volume 19, 2024
(Special Issue: Constantin Caratheodory)
First-hitting Place Optimization Problems for Two-dimensional Degenerate Diffusion Processes
Author:
Abstract: Optimal control problems for degenerate two-dimensional diffusion processes are considered. The processes could serve as models for wear processes. The objective is to make the controlled process leave the continuation region through a given part of the boundary. Explicit and exact solutions are obtained for important processes such as the geometric Brownian motion and the Ornstein-Uhlenbeck process.
Keywords:
Wear processes, Kolmogorov backward equation, homing problem, dynamic programming, special
functions, geometric Brownian motion, Ornstein-Uhlenbeck process
Pages: 353-359 WSEAS Transactions on Systems and Control, ISSN / E-ISSN: 1991-8763 / 2224-2856, Volume 19, 2024, Art. #37 DOI: 10.37394/23203.2024.19.37
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