``Minimum toll control of diffusions

DOI10.1016/0167-6911(89)90044-3MaRDI QIDQ1119239zbMATH OpenOpenAlexFDO

Authors Vivek Borkar

Publication date 1989

Published in Systems \& Control Letters (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/0167-6911(89)90044-3

zbMATH Keywords

controlled diffusionHamilton-Jacobi equationsminimum toll control

Mathematics Subject Classification ID

Dynamic programming in optimal control and differential games (49L20) Diffusion processes (60J60) Optimal stochastic control (93E20)

Review text

The author generalizes a minimum toll control problem in the following sense: Besides the running cost, a toll is paid for crossing a strip in the region where the controlled diffusion lives. This leads to problem involving two standard Hamilton-Jacobi equations coupled by their boundary data.

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Cites work

• Bounds for the fundamental solution of a parabolic equation
• Control of a partially observed diffusion up to an exit time
• Controlled diffusions with boundary-crossing costs
• Existence of Optimal Strategies Based on Specified Information, for a Class of Stochastic Decision Problems
• Existence results for optimal stochastic controls
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• Representation of Martingales, Quadratic Variation and Applications

Cited in

(1)

• Minimising the expected commute time

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