Singular control problems in bounded intervals
From MaRDI portal
Publication:3764785
DOI10.1080/17442508708833462zbMath0628.49017MaRDI QIDQ3764785
Publication date: 1987
Published in: Stochastics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/17442508708833462
variational inequalities; dynamic programming; value functions; discounted cost; one-dimensional diffusion processes; singular control problems; bounded intervals; long term average cost; time average cost
49J40: Variational inequalities
49L20: Dynamic programming in optimal control and differential games
93E20: Optimal stochastic control
60J60: Diffusion processes
49K45: Optimality conditions for problems involving randomness
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