Singular control problems in bounded intervals

DOI10.1080/17442508708833462zbMath0628.49017OpenAlexW1969189939WikidataQ126242937 ScholiaQ126242937MaRDI QIDQ3764785

Min Sun

Publication date: 1987

Published in: Stochastics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/17442508708833462

zbMATH Keywords

variational inequalitiesdynamic programmingvalue functionsdiscounted costone-dimensional diffusion processessingular control problemsbounded intervalslong term average costtime average cost

Mathematics Subject Classification ID

Variational inequalities (49J40) Dynamic programming in optimal control and differential games (49L20) Optimal stochastic control (93E20) Diffusion processes (60J60) Optimality conditions for problems involving randomness (49K45)

Related Items (25)

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Cites Work

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• An Ergodic Control Problem for Reflected Diffusion with Jump
• Elliptic Partial Differential Equations of Second Order
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