WSEAS Transactions on Systems
Print ISSN: 1109-2777, E-ISSN: 2224-2678
Volume 23, 2024
An Optimal Landing Problem for a Bessel Process
Author:
Abstract: A homing problem for a one-dimensional Bessel diffusion process is considered. The aim is to bring the controlled process to a value representing ground level as quickly as possible while taking the control costs into account. The cost function includes a parameter that takes the risk sensitivity of the optimizer into account. An explicit solution is found for both the value function and the optimal control in a particular problem.