Minimising the commute time.

Stochastic Analysis Seminar Series

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 the end point and consider the much harder case where the starting point is in the interior.


Saul Jacka University of Warwick

Monday, March 2, 2015 - 15:45
to 15:45