Controlled diffusions with boundary-crossing costs (Q1102632)
From MaRDI portal
 | This is the item page for this Wikibase entity, intended for internal use and editing purposes. Please use this page instead for the normal view: Controlled diffusions with boundary-crossing costs |
scientific article; zbMATH DE number 4050695
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Controlled diffusions with boundary-crossing costs |
scientific article; zbMATH DE number 4050695 |
Statements
Controlled diffusions with boundary-crossing costs (English)
0 references
1988
0 references
This paper considers the problem of controlling a nondegenerate diffusion in a bounded domain with a cost associated with the number of boundary- crossings of a subdomain before exiting from the original domain. The existence of optimal Markov controls is established by compactness arguments. The dynamic programming formalism is introduced and a verification theorem for optimal Markov controls is proved.
0 references
controlled diffusions
0 references
number of boundary-crossings
0 references
optimal Markov controls
0 references
compactness arguments
0 references
dynamic programming formalism
0 references
