Finite-time optimal control of a process leaving an interval

DOI10.2307/3215353MaRDI QIDQ4716097zbMATH OpenOpenAlexFDO

Authors Douglas W. McBeth, Ananda 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

zbMATH Keywords

discretestochastic optimal controlvalue functioncontinuousexit problemsparabolic maximum principle

Mathematics Subject Classification ID

Diffusion processes (60J60) Stopping times; optimal stopping problems; gambling theory (60G40) Optimal stochastic control (93E20)

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Cited in

(1)

• Controlling a Process to a Goal in Finite Time

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