Continuous and impulsive control of diffusion processes in N

DOI10.1016/0362-546X(84)90123-8MaRDI QIDQ3659650zbMATH OpenOpenAlexWikidataFDO

Authors Ben{ôı}t Perthame

Publication date 1984

Published in Nonlinear Analysis: Theory, Methods & Applications (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/0362-546x(84)90123-8

zbMATH Keywords

dynamic programming principleHamilton-Jacobi-Bellman equationsimpulsive controlquasi-variational inequalitiessemi-concave functions

Mathematics Subject Classification ID

Nonlinear elliptic equations (35J60) Variational inequalities (49J40) Existence of optimal solutions to problems involving randomness (49J55) Dynamic programming in optimal control and differential games (49L20) Dynamic programming (90C39) Optimal stochastic control (93E20)

Cites work

• Control of diffusion processes in \(\mathbb R^N\)
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Cited in

(5)

• Optimal stochastic intervention control with application to the exchange rate
• A maximum principle via Malliavin calculus for combined stochastic control and impulse control of forward-backward systems
• OPTIMAL DIVIDEND POLICY WITH MEAN-REVERTING CASH RESERVOIR
• The solution to an impulse control problem motivated by optimal harvesting
• An impulsive control problem with state constraint

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