Stochastic Feedback Control With One-Dimensional Degenerate Diffusions and Nonsmooth Value Functions

DOI10.1109/TAC.2017.2701412zbMATH Open1390.93862OpenAlexW2611259735MaRDI QIDQ4566980FDOQ4566980

Authors: Xi-Ren Cao 

Publication date: 27 June 2018

Published in: IEEE Transactions on Automatic Control (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1109/tac.2017.2701412

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Mathematics Subject Classification ID

Diffusion processes (60J60) Stopping times; optimal stopping problems; gambling theory (60G40) Applications of stochastic analysis (to PDEs, etc.) (60H30) Local time and additive functionals (60J55) Optimal stochastic control (93E20) Optimal feedback synthesis (49N35)

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