A class of discounted models for singular diffusion control (Q1428907)
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scientific article; zbMATH DE number 2065836
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| English | A class of discounted models for singular diffusion control |
scientific article; zbMATH DE number 2065836 |
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A class of discounted models for singular diffusion control (English)
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18 May 2004
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A singular optimal control problem for a one-dimensional diffusion process, similar to that investigated by \textit{J. Ma} [SIAM J. Control Optimization 30, No. 4, 975--999 (1992; Zbl 0759.93081)] but with a more general cost functional and under less restrictive assumptions, is considered. Using an approach based on the analysis of the corresponding variational inequalities, sufficient and necessary conditions for the existence of an optimal control are presented.
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singular optimal control
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one-dimensional diffusion process
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variational inequalities
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existence of an optimal control
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0.8480428457260132
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0.8437135219573975
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0.8361080884933472
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