Mathematical Problems in Engineering 
Volume 8 (2002), Issue 6, Pages 563-574
doi:10.1080/1024123021000061944

Survival maximization for a Laguerre population

Mario Lefebvre

Département de mathématiques et de génie industriel, École Polytechnique de Montréal, C.P. 6079, Succursale Centre-ville, Montréal H3C 3A7, Québec, Canada

Received 10 December 2001

Abstract

A population whose evolution is approximately described by a Laguerre diffusion process is considered. Let Y(t) be the number of individuals alive at time t and T(y,t0) be the first time Y(t) is equal to either 0 or d(>0), given that Y(t0)=y is in (0,d) The aim is to minimize the expected value of a cost criterion in which the final cost is equal to 0 if Y(T)=d and to if Y(T)=0. The case when the final cost is 0 (respectively ) if T is greater than or equal to (resp. less than) a fixed constant s is also solved explicitly. In both cases, the risk sensitivity of the optimizer is taken into account.