Stochastic Control of One-Dimensional Diffusions Whose Generators Have Discontinuous Coefficients
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Publication:3686604
DOI10.1137/0323025zbMath0568.93072MaRDI QIDQ3686604
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
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