Control of a Diffusion by Switching between Two Drift-Diffusion Coefficient Pairs

DOI10.1137/0322007MaRDI QIDQ3313756zbMATH OpenOpenAlexFDO

Authors J. M. McNamara

Publication date 1984

Published in SIAM Journal on Control and Optimization (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1137/0322007

zbMATH Keywords

bang-bang controlGirsanov transformationsone-dimensional diffusion process

Mathematics Subject Classification ID

Existence of optimal solutions belonging to restricted classes (Lipschitz controls, bang-bang controls, etc.) (49J30) Existence of optimal solutions to problems involving randomness (49J55) Diffusion processes (60J60) Optimal stochastic control (93E20)

Recommendations

• Forcing a controlled diffusion process to leave through the right end of an interval
• A homing problem for diffusion processes with control-dependent variance.
• Maximizing the time spent by a diffusion process in an interval
• The optimal control of diffusions
• Controlling a two-dimensional diffusion process at most until a fixed time

Cited in

(9)

• Maximizing the time spent by a diffusion process in an interval
• Forcing a controlled diffusion process to leave through the right end of an interval
• Optimal control by searching a two-dimensional diffusion process of special type
• A Stochastic Differential Game with Safe and Risky Choices
• A regularity condition on the transition probability measure of a diffusion process
• Gain Control by Concerted Changes in I_A and I _H Conductances
• De Finetti's problem with fixed transaction costs and regime switching
• Risk-sensitive foraging: A review of the theory
• Controlling a stopped diffusion process to reach a goal

This page was built for publication: Control of a Diffusion by Switching between Two Drift-Diffusion Coefficient Pairs

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q3313756)