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Controlled Wiener process by external interventions maximizing the average time until reaching a level. (English) Zbl 0747.60073
The paper deals with control of Wiener process with positive drifts occuring at random instants. External interventions at suitable times are allowed to eliminate these drifts. A model for control of the process is investigated with accordingly defined external interventions so as to maximize the average time until the controlled process reaches a fixed level. Some special cases are considered when the problems of optimal control have explicit solutions.
Reviewer: M.D.Beleva (Sofia)
MSC:
60J65 Brownian motion
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