Instantaneous Control of Brownian Motion
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Publication:3037295
DOI10.1287/moor.8.3.439zbMath0523.93068OpenAlexW1982806220MaRDI QIDQ3037295
J. Michael Harrison, Michael I. Taksar
Publication date: 1983
Published in: Mathematics of Operations Research (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1287/moor.8.3.439
Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Dynamic programming in optimal control and differential games (49L20) Production models (90B30) Brownian motion (60J65) Dynamic programming (90C39) Optimal stochastic control (93E20) Existence of optimal solutions to problems involving randomness (49J55)
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