Optimal Control of the Diffusion Coefficient of a Simple Diffusion Process

DOI10.1287/MOOR.8.3.373MaRDI QIDQ3043033zbMATH OpenOpenAlexFDO

Authors J. M. McNamara

Publication date 1983

Published in Mathematics of Operations Research (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1287/moor.8.3.373

zbMATH Keywords

bang-bang controlcoefficient controlfinite time intervalone-dimensional diffusion process

Mathematics Subject Classification ID

Optimality conditions for solutions belonging to restricted classes (Lipschitz controls, bang-bang controls, etc.) (49K30) Optimality conditions for problems involving randomness (49K45) Dynamic programming in optimal control and differential games (49L20) Diffusion processes (60J60) Dynamic programming (90C39) Optimal stochastic control (93E20)

Cited in

(13)

• Controlling the occupation time of an exponential martingale
• Gambling for resurrection and the heat equation on a triangle
• A Stochastic Differential Game with Safe and Risky Choices
• A regularity condition on the transition probability measure of a diffusion process
• Optimal control of diffusion coefficients via decoupling fields
• First passage time density of an Ornstein-Uhlenbeck process with broken drift
• Last minute panic in zero sum games
• Exact Superreplication Strategies for a Class of Derivative Assets
• The role of correlation in diffusion control ranking games
• Mean-field ranking games with diffusion control
• A sharp upper bound for the expected interval occupation time of Brownian martingales
• Two-player diffusion control games with private information
• Risk-sensitive foraging: A review of the theory

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