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

DOI10.1137/0323025MaRDI QIDQ3686604zbMATH OpenOpenAlexFDO

Authors 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 coefficientpay-off functionone-dimensional controlled diffusion processes

Mathematics Subject Classification ID

Diffusion processes (60J60) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Variational inequalities (49J40) Existence of optimal solutions to problems involving randomness (49J55) Optimality conditions for problems involving randomness (49K45) Optimal stochastic control (93E20)

Cited in

(2)

• On a PDE arising in one-dimensional stochastic control problems
• Stochastic Feedback Control With One-Dimensional Degenerate Diffusions and Nonsmooth Value Functions

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