Optimally coupling the Kolmogorov diffusion, and related optimal control problems

Details Optimally coupling the Kolmogorov diffusion, and related optimal control problems Optimally coupling the Kolmogorov diffusion, and related optimal control problems

2006-02-17

arxiv.org/abs/math/0602365v2

Mathematics

Probability

19 pages, 6 figures [corrected missing references]

Scientific paper

We discuss the optimal Markovian coupling before an exponential time of the Kolmogorov diffusion, and a class of related stochastic control problems in which the aim is to hit the origin before an exponential time. We provide a scaling argument for the optimal control in the near field and use rational WKB approximation to obtain the optimal control in the far field, and compare these analytical results with numerical experiments. In some of these optimal control problems, in which the advection velocity field is bounded, we show that the probability of success field agrees exactly with its leading-order asymptotic approximation in some areas of the plane, up to an undetermined multiplicative constant. We conjecture a necessary and sufficient condition for this behaviour, which is strongly supported by numerical experiments.

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