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Avoiding the origin: A finite-fuel stochastic control problem
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UNSPECIFIED (2002) Avoiding the origin: A finite-fuel stochastic control problem. ANNALS OF APPLIED PROBABILITY, 12 (4). pp. 1378-1389. ISSN 1050-5164.
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Abstract
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 | ||||
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Subjects: | Q Science > QA Mathematics | ||||
Journal or Publication Title: | ANNALS OF APPLIED PROBABILITY | ||||
Publisher: | INST MATHEMATICAL STATISTICS | ||||
ISSN: | 1050-5164 | ||||
Official Date: | November 2002 | ||||
Dates: |
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Volume: | 12 | ||||
Number: | 4 | ||||
Number of Pages: | 12 | ||||
Page Range: | pp. 1378-1389 | ||||
Publication Status: | Published |
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