Minimizing Infinite Time Horizon Discounted Cost with Mean, Variance, and Bounded Variation Controls

DOI10.1137/S0363012902403948zbMATH Open1049.93094MaRDI QIDQ4443045FDOQ4443045

Authors: Ananda Weerasinghe 

Publication date: 8 January 2004

Published in: SIAM Journal on Control and Optimization (Search for Journal in Brave)

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zbMATH Keywords

optimal stoppingstochastic optimal controlprinciple of smooth fitdiffusion processes with reflections

Mathematics Subject Classification ID

Applications of stochastic analysis (to PDEs, etc.) (60H30) Optimal stochastic control (93E20)

Cited In (1)

• A Bounded Variation Control Problem for Diffusion Processes

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