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<p>One-dimensional controlled diffusion processes are considered in a finite interval. The processes are controlled until they leave the interval. Bounds are obtained for the absolute value of the value function and of the optimal control. An example for which the value function and optimal control are obtained explicitly is presented to assess the quality of the bounds.</p>

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Bounds for the value function and optimal control in homing problems

  • 期刊论文

  • 发表日期：

    2025年8月6日

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  • Mario Lefebvre

摘要

One-dimensional controlled diffusion processes are considered in a finite interval. The processes are controlled until they leave the interval. Bounds are obtained for the absolute value of the value function and of the optimal control. An example for which the value function and optimal control are obtained explicitly is presented to assess the quality of the bounds.