Minimising the shuttle/commute time
- Date: Thursday 27 February 2020, 14:00 – 15:00
- Location: Roger Stevens LT 05 (7.05)
- Type: Probability and Financial Mathematics, Seminars, Statistics
- Cost: Free
Professor Saul Jacka (University of Warwick)
We consider the problem of choosing a diffusion's drift so as to minimise the expected time to commute from zero to 1 and back again.
We solve this first as a static problem and then (in a suitable sense) dynamically.