Optimal stopping and impulsive control of one-dimensional diffusion processes

DOI10.21136/CMJ.1987.102154zbMATH Open0639.93067OpenAlexW2249840120MaRDI QIDQ3780871FDOQ3780871

Authors: Robin Thomas 

Publication date: 1987

Full work available at URL: https://eudml.org/doc/13639

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zbMATH Keywords

impulsive controloptimal stoppingweighted Sobolev spacesdiffusion processessuperharmonic majorants

Mathematics Subject Classification ID

Diffusion processes (60J60) Harmonic, subharmonic, superharmonic functions on other spaces (31C05) Sobolev spaces and other spaces of ``smooth functions, embedding theorems, trace theorems (46E35) Variational inequalities (49J40) Existence of optimal solutions to problems involving randomness (49J55) Stopping times; optimal stopping problems; gambling theory (60G40) Optimal stochastic control (93E20)

Cites Work

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• On the Asymptotic Behavior of the First Eigenvalue of a Second-Order Differential Operator with Small Parameter in Higher Derivatives
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• Boréliens à coupes $K_\sigma$
• Markov processes and problems in analysis

Cited In (4)

• Title not available (Why is that?)
• Probabilistic characteristics of one stopping rule for steady control
• Title not available (Why is that?)
• Title not available (Why is that?)

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