Abstract
If we have a controlled Markov diffusion which may explode in finite time, the problem arises regarding using the control in order to maximize the mean time to explosion, i.e. the blowup time. The maximal mean blowup time, u(x), as a function of the initial position x∈ℝn is characterized as the unique continuous viscosity solution of a Bellman equation, satisfying the boundary condition that u vanishes at infinity. Then we consider the problem of convergence of the maximal mean blowup time uε(x) corresponding to a diffusion matrix [Formula: see text], as ε → 0. We establish that, in general, the stochastic mean blowup time does not converge to the deterministic blowup time. However, the certainty equivalent blowup time does converge to the deterministic blowup time.
Sign-in/Register to access full text options 
Talk to us
Join us for a 30 min session where you can share your feedback and ask us any queries you have
Schedule a callMore From: Mathematical Models and Methods in Applied Sciences
Disclaimer: All third-party content on this website/platform is and will remain the property of their respective owners and is provided on "as is" basis without any warranties, express or implied. Use of third-party content does not indicate any affiliation, sponsorship with or endorsement by them. Any references to third-party content is to identify the corresponding services and shall be considered fair use under The CopyrightLaw.
