scientific article; zbMATH DE number 3958372

zbMATH Open0595.60060MaRDI QIDQ3727080FDOQ3727080

Authors: P.-L. Lions 

Publication date: 1986

Title of this publication is not available (Why is that?)

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zbMATH Keywords

Hamilton-Jacobi-Bellman equationregularity resultsoptimal stochastic control of reflected diffusion processesreflection on the boundary

Mathematics Subject Classification ID

Diffusion processes (60J60) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Nonlinear boundary value problems for linear elliptic equations (35J65) Optimal stochastic control (93E20)

Cited In (14)

• Reflecting Ito Processes in a Stochastic Control Problem
• Optimal Reflection of Diffusions and Barrier Options Pricing under Constraints
• Optimal feedback controllers for a stochastic differential equation with reflection
• A numerical method for reflected diffusions: Control of the reflection directions and applications
• Title not available (Why is that?)
• On Reflecting Boundary Problem for Optimal Control
• Risk-sensitive control of reflected diffusion processes on orthrant
• The Dynamics of Instability
• A note on stochastic optimal control of reflected diffusions with jumps
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• Probabilistic aspects of finite-fuel, reflected follower problems
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• An application of reflected diffusions to the problem of choosing between hydro and thermal power generation
• Probability bounds for reflecting diffusion processes

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