Bounded Variation Control of Itô Diffusions with Exogenously Restricted Intervention Times
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Publication:5415095
DOI10.1239/aap/1396360105zbMath1286.93204MaRDI QIDQ5415095
Publication date: 9 May 2014
Published in: Advances in Applied Probability (Search for Journal in Brave)
Full work available at URL: https://projecteuclid.org/euclid.aap/1396360105
93E20: Optimal stochastic control
60G40: Stopping times; optimal stopping problems; gambling theory
60J60: Diffusion processes
49N25: Impulsive optimal control problems
Related Items
Ergodic control of diffusions with random intervention times, A note on asymptotics between singular and constrained control problems of one-dimensional diffusions
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