Stationary stochastic control for Itô processes

DOI10.1239/AAP/1019160953zbMath1020.93028OpenAlexW2162178877MaRDI QIDQ4547101

Ananda P. N. Weerasinghe

Publication date: 30 September 2003

Published in: Advances in Applied Probability (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1239/aap/1019160953

zbMATH Keywords

stochastic optimal controlreflecting diffusion process

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Optimal stochastic control (93E20) Stopping times; optimal stopping problems; gambling theory (60G40) Financial applications of other theories (91G80)

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