Infinite horizon controlled diffusions with randomly varying and state-dependent discount cost rates

DOI10.1007/s10957-016-0898-xzbMath1365.93546OpenAlexW2463451813MaRDI QIDQ2359780

Yanyan Li

Publication date: 22 June 2017

Published in: Journal of Optimization Theory and Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10957-016-0898-x

zbMATH Keywords

Hamilton-Jacobi-Bellman equationnumerical approximationcontrolled diffusionverification theoremrandom and state-dependent discount cost rate

Mathematics Subject Classification ID

Optimal stochastic control (93E20) Diffusion processes (60J60) Financial applications of other theories (91G80)

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Controlled Switching Diffusions Under Ambiguity: The Average Criterion, Constrained optimality for controlled switching diffusions with an application to stock purchasing

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