On Optimal Control of a Non-Terminating Diffusion Process with Reflection

DOI10.1137/1114063zbMath0281.60090OpenAlexW1977189397MaRDI QIDQ4766368

Ya. A. Kogan

Publication date: 1970

Published in: Theory of Probability & Its Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1137/1114063

Mathematics Subject Classification ID

Diffusion processes (60J60) Markov processes (60J99)

Related Items (6)

Optimal controls for diffusion in \(R^ d\)- a min-max max-min formula for the minimal cost growth rate ⋮ Optimal control of diffusion processes with reflection ⋮ Ergodic control of reflected diffusions with jumps ⋮ On ergodic control problems for singularly perturbed Markov processes ⋮ On almost sure optimization for stochastic control systems ⋮ Long-term average cost control problems for continuous time Markov processes: A survey

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