Stochastic Control of One-Dimensional Diffusions Whose Generators Have Discontinuous Coefficients

DOI10.1137/0323025zbMath0568.93072MaRDI QIDQ3686604

Hideo Nagai

Publication date: 1985

Published in: SIAM Journal on Control and Optimization (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1137/0323025

zbMATH Keywords

non-smooth coefficient; pay-off function; one-dimensional controlled diffusion processes

Mathematics Subject Classification ID

60H10: Stochastic ordinary differential equations (aspects of stochastic analysis)

49J40: Variational inequalities

93E20: Optimal stochastic control

60J60: Diffusion processes

49K45: Optimality conditions for problems involving randomness

49J55: Existence of optimal solutions to problems involving randomness