Finite-time optimal control of a process leaving an interval
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Publication:4716097
DOI10.2307/3215353zbMath0862.93073MaRDI QIDQ4716097
Douglas W. McBeth, Ananda P. N. Weerasinghe
Publication date: 29 May 1997
Published in: Journal of Applied Probability (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.2307/3215353
stochastic optimal control; value function; discrete; continuous; exit problems; parabolic maximum principle
93E20: Optimal stochastic control
60G40: Stopping times; optimal stopping problems; gambling theory
60J60: Diffusion processes