Controlled diffusion processes on infinite horizon with the overtaking criterion

DOI10.1007/BF01448359zbMath0637.60055MaRDI QIDQ1098487

Arie Leizarowitz

Publication date: 1988

Published in: Applied Mathematics and Optimization (Search for Journal in Brave)

zbMATH Keywords

Bellman equation; controlled diffusions; overtaking criterion; infinite horizon optimal control problem; reflections from the boundary

Mathematics Subject Classification ID

60G35: Signal detection and filtering (aspects of stochastic processes)

93E20: Optimal stochastic control

60J60: Diffusion processes

49J55: Existence of optimal solutions to problems involving randomness

Related Items

Controlled Markov processes on the infinite planning horizon: Weighted and overtaking cost criteria, Blackwell Optimality for Controlled Diffusion Processes, Optimal controls for diffusion in \(R^ d\)- a min-max max-min formula for the minimal cost growth rate, Characterizations of overtaking optimality for controlled diffusion processes, On infinite products of stochastic matrices, Ergodic Control, Bias, and Sensitive Discount Optimality for Markov Diffusion Processes

Cites Work

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