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Minimizing or maximizing the first-passage time to a time-dependent boundary
Optimization ( IF 1.6 ) Pub Date : 2021-04-12 , DOI: 10.1080/02331934.2021.1914039
Mario Lefebvre 1
Affiliation  

Let X(t) be a one-dimensional controlled diffusion process, and Y(t) be a deterministic process. Various models are considered for (X˙(t),Y˙(t)). The optimizer tries to bring the ratio X(t)/Y(t) to a certain value d as soon as possible. There is also a second optimizer whose aim is to prevent the ratio X(t)/Y(t) from reaching d as long as possible. Explicit solutions are obtained. The particular case when the control variables are assumed to be constants and the general case are treated.



中文翻译:

最小化或最大化第一次通过时间到与时间相关的边界

X()是一维受控扩散过程,并且()是一个确定性的过程。考虑了各种模型(X˙(),˙()). 优化器试图带来比率X()/()尽快达到某个值d。还有第二个优化器,其目的是防止比率X()/()从达到d尽可能长的时间。得到明确的解决方案。假设控制变量为常数时的特殊情况,处理一般情况。

更新日期:2021-04-12
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