Degenerate Variance Control of a One-Dimensional Diffusion
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Publication:4507442
DOI10.1137/S0363012998347122zbMath1001.93090MaRDI QIDQ4507442
Ananda P. N. Weerasinghe, Daniel L. Ocone
Publication date: 18 October 2000
Published in: SIAM Journal on Control and Optimization (Search for Journal in Brave)
Hamilton-Jacobi-Bellman equation; stochastic optimal control; degenerate diffusion; feedback control; smooth fit; bang-bang diffusion; variance controlled diffusion
60H10: Stochastic ordinary differential equations (aspects of stochastic analysis)
93E20: Optimal stochastic control
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