Controlled diffusion processes on infinite horizon with the overtaking criterion

DOI10.1007/BF01448359zbMath0637.60055MaRDI QIDQ1098487

Arie Leizarowitz

Publication date: 1988

Published in: Applied Mathematics and Optimization (Search for Journal in Brave)

zbMATH Keywords

Bellman equation; controlled diffusions; overtaking criterion; infinite horizon optimal control problem; reflections from the boundary

Mathematics Subject Classification ID

60G35: Signal detection and filtering (aspects of stochastic processes)

93E20: Optimal stochastic control

60J60: Diffusion processes

49J55: Existence of optimal solutions to problems involving randomness

Related Items

Controlled Markov processes on the infinite planning horizon: Weighted and overtaking cost criteria, Optimal controls for diffusion in \(R^ d\)- a min-max max-min formula for the minimal cost growth rate, On infinite products of stochastic matrices

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