Control of a Diffusion by Switching between Two Drift-Diffusion Coefficient Pairs
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Publication:3313756
DOI10.1137/0322007zbMath0531.93070OpenAlexW2090543937MaRDI QIDQ3313756
Publication date: 1984
Published in: SIAM Journal on Control and Optimization (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1137/0322007
Optimal stochastic control (93E20) Existence of optimal solutions belonging to restricted classes (Lipschitz controls, bang-bang controls, etc.) (49J30) Diffusion processes (60J60) Existence of optimal solutions to problems involving randomness (49J55)
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