``Minimum toll control of diffusions

DOI10.1016/0167-6911(89)90044-3zbMATH Open0669.93086OpenAlexW2081114744MaRDI QIDQ1119239FDOQ1119239

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

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zbMATH Keywords

Hamilton-Jacobi equationscontrolled diffusionminimum toll control

Mathematics Subject Classification ID

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

Cites Work

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

Cited In (1)

• Minimising the expected commute time

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