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November 2002 Avoiding the origin: A finite-fuel stochastic control problem
Saul Jacka
Ann. Appl. Probab. 12(4): 1378-1389 (November 2002). DOI: 10.1214/aoap/1037125867


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.


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Saul Jacka. "Avoiding the origin: A finite-fuel stochastic control problem." Ann. Appl. Probab. 12 (4) 1378 - 1389, November 2002.


Published: November 2002
First available in Project Euclid: 12 November 2002

zbMATH: 1027.93043
MathSciNet: MR1936597
Digital Object Identifier: 10.1214/aoap/1037125867

Primary: 93E20
Secondary: 60H30

Keywords: diffusion , finite-fuel control , Stochastic control , strong maximum principle

Rights: Copyright © 2002 Institute of Mathematical Statistics


Vol.12 • No. 4 • November 2002
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