Optimal Control of the Diffusion Coefficient of a Simple Diffusion Process
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Publication:3043033
DOI10.1287/moor.8.3.373zbMath0526.93069OpenAlexW2038868742MaRDI QIDQ3043033
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.8.3.373
Dynamic programming in optimal control and differential games (49L20) Dynamic programming (90C39) Optimal stochastic control (93E20) Diffusion processes (60J60) Optimality conditions for problems involving randomness (49K45) Optimality conditions for solutions belonging to restricted classes (Lipschitz controls, bang-bang controls, etc.) (49K30)
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