Avoiding the origin: A finite-fuel stochastic control problem
UNSPECIFIED. (2002) Avoiding the origin: A finite-fuel stochastic control problem. ANNALS OF APPLIED PROBABILITY, 12 (4). pp. 1378-1389. ISSN 1050-5164Full text not available from this repository.
We consider a model for the control of a satellite-fuel is expended in a linear fashion to move a satellite following a diffusion-the aim being to keep the satellite above a critical level. Under suitable assumptions on the drift and diffusion coefficients, it is shown that the probability of the satellite falling below the critical level is minimized by a policy that moves the satellite a certain distance above the critical level and then imposes a reflecting boundary at this higher level until the fuel is exhausted.
|Item Type:||Journal Article|
|Subjects:||Q Science > QA Mathematics|
|Journal or Publication Title:||ANNALS OF APPLIED PROBABILITY|
|Publisher:||INST MATHEMATICAL STATISTICS|
|Official Date:||November 2002|
|Number of Pages:||12|
|Page Range:||pp. 1378-1389|
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