Stochastic control problems with functionals depending on local time

MaRDI QIDQ1422746zbMATH OpenFDO

Authors Nikolai Dokuchaev

Publication date 25 February 2004

Published in Vestnik St. Petersburg University. Mathematics (Search for Journal in Brave)

zbMATH Keywords

probability distribution of the local sojourn of a diffusion process

Mathematics Subject Classification ID

Diffusion processes (60J60) Optimal stochastic control (93E20)

Review text

For the probability distribution of a quantity analogous to the local sojourn of a diffusion process on a hypersurface, some equations are obtained. An original stochastic control problem for local time is considered.

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• Problems of stationarity and control with a nonlocal cost per unit time

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