English

Optimizing a variable-rate diffusion to hit an infinitesimal target at a set time

Probability 2014-09-16 v2

Abstract

I consider a stochastic optimization problem for a time-changed Bessel process whose diffusion rate is constrained to be between two positive values r1<r2r_{1}<r_{2}. 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 r2r1\frac{r_{2}}{r_{1}} and the dimension of the Bessel process.

Keywords

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

R2 v1 2026-06-22T00:50:13.045Z