Optimizing a variable-rate diffusion to hit an infinitesimal target at a set time
Abstract
I consider a stochastic optimization problem for a time-changed Bessel process whose diffusion rate is constrained to be between two positive values . The problem is to find an optimal adapted strategy for the choice of diffusion rate in order to maximize the chance of hitting an infinitesimal region around the origin at a set time in the future. More precisely, the parameter associated with "the chance of hitting the origin" is the exponent for a singularity induced at the origin of the final time probability density. I show that the optimal exponent solves a transcendental equation depending on the ratio and the dimension of the Bessel process.
Cite
@article{arxiv.1307.3326,
title = {Optimizing a variable-rate diffusion to hit an infinitesimal target at a set time},
author = {Jeremy Thane Clark},
journal= {arXiv preprint arXiv:1307.3326},
year = {2014}
}
Comments
19 pages, I generalized the result from the previous version of the article and made small corrections