WSEAS Transactions on Systems and Control
Print ISSN: 1991-8763, E-ISSN: 2224-2856
Volume 19, 2024
(Special Issue: Constantin Caratheodory) First-hitting Place Optimization Problems for Two-dimensional Degenerate Diffusion Processes
Author:
Abstract: Optimal control problems for degenerate two-dimensional diffusion processes are considered. The processes could serve as models for wear processes. The objective is to make the controlled process leave the continuation region through a given part of the boundary. Explicit and exact solutions are obtained for important processes such as the geometric Brownian motion and the Ornstein-Uhlenbeck process.