Controlled diffusions with boundary-crossing costs
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Publication:1102632
DOI10.1007/BF01443615zbMath0644.60080OpenAlexW2050458681MaRDI QIDQ1102632
Publication date: 1988
Published in: Applied Mathematics and Optimization (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/bf01443615
controlled diffusionscompactness argumentsdynamic programming formalismnumber of boundary-crossingsoptimal Markov controls
Related Items (4)
Mimicking finite dimensional marginals of a controlled diffusion by simpler controls ⋮ ``Minimum toll control of diffusions ⋮ Self-tuning control of diffusions without the identifiability condition ⋮ Controlled diffusions with constraints
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