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

DOI10.1137/1114063MaRDI QIDQ4766368zbMATH OpenOpenAlexFDO

Authors 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)

Cited in

(6)

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

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