Minimising the commute time.

2 March 2015
15:45
Saul Jacka
Abstract

We consider the problem of minimising the commute or shuttle time for a diffusion between the endpoints of an interval. The control is the scale function for the diffusion. We show that the dynamic version of the problem has the same solution as the static version if we start at an end point and consider the much harder case where the starting point is in the interior.

 

  • Stochastic Analysis Seminar