Optimal Control of the Diffusion Coefficient of a Simple Diffusion Process

DOI10.1287/MOOR.8.3.373zbMath0526.93069OpenAlexW2038868742MaRDI QIDQ3043033

John M. McNamara

Publication date: 1983

Published in: Mathematics of Operations Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1287/moor.8.3.373

zbMATH Keywords

bang-bang controlone-dimensional diffusion processfinite time intervalcoefficient control

Mathematics Subject Classification ID

Dynamic programming in optimal control and differential games (49L20) Dynamic programming (90C39) Optimal stochastic control (93E20) Diffusion processes (60J60) Optimality conditions for problems involving randomness (49K45) Optimality conditions for solutions belonging to restricted classes (Lipschitz controls, bang-bang controls, etc.) (49K30)

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