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.
Publié le : 2002-11-14
Classification:
Stochastic control,
diffusion,
strong maximum principle,
finite-fuel control,
93E20,
60H30
@article{1037125867,
author = {Jacka, Saul},
title = {Avoiding the origin: A finite-fuel stochastic control problem},
journal = {Ann. Appl. Probab.},
volume = {12},
number = {1},
year = {2002},
pages = { 1378-1389},
language = {en},
url = {http://dml.mathdoc.fr/item/1037125867}
}
Jacka, Saul. Avoiding the origin: A finite-fuel stochastic control problem. Ann. Appl. Probab., Tome 12 (2002) no. 1, pp. 1378-1389. http://gdmltest.u-ga.fr/item/1037125867/