an:01505442
Zbl 1034.60075
Beleva, Mariana D.
Controlled Wiener process by external interventions minimizing the average time with a drift
EN
Math. Balk., New Ser. 10, No. 1, 49-64 (1996).
00069986
1996
j
60J65 93E20
Wiener process with positive drifts; external intervention; optimal control
Summary: The paper deals with a problem of control of a Wiener process with positive drifts appearing at random times. External interventions at suitable times are allowed to eliminate these drifts. A model of control of the process is investigated with accordingly defined external interventions so as to minimize the average time when the controlled process runs with a drift. A special case is considered when the problem of optimal control has an explicit solution.