Minimizing Infinite Time Horizon Discounted Cost with Mean, Variance, and Bounded Variation Controls (Q4443045)
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scientific article; zbMATH DE number 2024326
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| English | Minimizing Infinite Time Horizon Discounted Cost with Mean, Variance, and Bounded Variation Controls |
scientific article; zbMATH DE number 2024326 |
Statements
Minimizing Infinite Time Horizon Discounted Cost with Mean, Variance, and Bounded Variation Controls (English)
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8 January 2004
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stochastic optimal control
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principle of smooth fit
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optimal stopping
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diffusion processes with reflections
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0.876550018787384
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0.7906559705734253
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0.7815449833869934
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0.7757458090782166
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0.7750848531723022
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