Finite-time optimal control of a process leaving an interval

DOI10.2307/3215353zbMATH Open0862.93073OpenAlexW2018606135MaRDI QIDQ4716097FDOQ4716097

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

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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)

Cited In (1)

• Controlling a Process to a Goal in Finite Time

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