Reflecting Ito Processes in a Stochastic Control Problem

DOI10.1287/moor.17.3.740zbMath0756.60053MaRDI QIDQ4022030

Ananda P. N. Weerasinghe, Krishna B. Athreya

Publication date: 17 January 1993

Published in: Mathematics of Operations Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1287/moor.17.3.740

zbMATH Keywords

local time; stochastic control problem; reflecting diffusion; Itô process with reflection

Mathematics Subject Classification ID

60H10: Stochastic ordinary differential equations (aspects of stochastic analysis)

93E20: Optimal stochastic control

60J60: Diffusion processes

60J55: Local time and additive functionals