Abstract
Let X(t) be a one-dimensional controlled Wiener process, and let τ(x) be the first time X(t) takes on the value A, given that X(0) = x. The problem of finding the control that minimises the expected value of a cost function with quadratic control costs on the way and an instantaneous reward (or penalty) given for survival in the continuation region is solved explicitly in the case when A is a random variable.
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