Controlled diffusions with boundary-crossing costs (Q1102632)
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| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Controlled diffusions with boundary-crossing costs |
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Controlled diffusions with boundary-crossing costs (English)
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1988
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This paper considers the problem of controlling a nondegenerate diffusion in a bounded domain with a cost associated with the number of boundary- crossings of a subdomain before exiting from the original domain. The existence of optimal Markov controls is established by compactness arguments. The dynamic programming formalism is introduced and a verification theorem for optimal Markov controls is proved.
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controlled diffusions
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number of boundary-crossings
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optimal Markov controls
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compactness arguments
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dynamic programming formalism
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