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Maximizing the Mean Exit Time of a Brownian Motion from an Interval

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  • Mario Lefebvre

Abstract

Let be a controlled one-dimensional standard Brownian motion starting from . The problem of optimally controlling until for the first time is solved explicitly in a particular case. The maximal value that the instantaneous reward given for survival in can take is determined.

Suggested Citation

  • Mario Lefebvre, 2011. "Maximizing the Mean Exit Time of a Brownian Motion from an Interval," International Journal of Stochastic Analysis, Hindawi, vol. 2011, pages 1-5, April.
    • Handle: RePEc:hin:jnijsa:296259
    DOI: 10.1155/2011/296259
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