Steven Orey, Victor Pestien, William Sudderth

Research output: Contribution to journalArticle

11 Scopus citations


The controlled process X(t) with values in ( minus infinity , 0) is given by a stochastic differential equation dX(t) equals mu (t)dt plus sigma (t)dW//t, X(0) equals x, where the nonanticipative controls mu and sigma are to be chosen so that ( mu (t), sigma (t)) remains in a given set S. The object is to maximize (minimize) the expectation of beta **T where 0 less than beta less than 1( beta greater than 1) and T is the hitting time of zero. A complete solution is given for any specified set, and an application is made to continuous-time red-and-black.

Original languageEnglish (US)
Pages (from-to)l253-1265
JournalSIAM Journal on Control and Optimization
Issue number5
StatePublished - Sep 1 1987
Externally publishedYes

ASJC Scopus subject areas

  • Control and Optimization
  • Applied Mathematics

Fingerprint Dive into the research topics of 'REACHING ZERO RAPIDLY.'. Together they form a unique fingerprint.

  • Cite this

    Orey, S., Pestien, V., & Sudderth, W. (1987). REACHING ZERO RAPIDLY. SIAM Journal on Control and Optimization, 25(5), l253-1265.