Controlled diffusion processes on infinite horizon with the overtaking criterion

DOI10.1007/BF01448359zbMath0637.60055MaRDI QIDQ1098487

Arie Leizarowitz

Publication date: 1988

Published in: Applied Mathematics and Optimization (Search for Journal in Brave)

zbMATH Keywords

Bellman equationcontrolled diffusionsovertaking criterioninfinite horizon optimal control problemreflections from the boundary

Mathematics Subject Classification ID

Signal detection and filtering (aspects of stochastic processes) (60G35) Optimal stochastic control (93E20) Diffusion processes (60J60) Existence of optimal solutions to problems involving randomness (49J55)

Related Items (11)

Blackwell Optimality for Controlled Diffusion Processes ⋮ Controlled Markov processes on the infinite planning horizon: Weighted and overtaking cost criteria ⋮ Asymptotic behavior of the solution to a linear stochastic differential equation and almost sure optimality for a controlled stochastic process ⋮ On stochastic optimality for a linear controller with attenuating disturbances ⋮ Blackwell-Nash Equilibria in Zero-Sum Stochastic Differential Games ⋮ Optimal controls for diffusion in \(R^ d\)- a min-max max-min formula for the minimal cost growth rate ⋮ On infinite products of stochastic matrices ⋮ Optimal ergodic control of Markov diffusion processes with minimum variance ⋮ Structure of intergenerational risk-sharing plans: optimality and fairness ⋮ Ergodic Control, Bias, and Sensitive Discount Optimality for Markov Diffusion Processes ⋮ Characterizations of overtaking optimality for controlled diffusion processes

Cites Work

• Unnamed Item
• Long-term average cost control problems for continuous time Markov processes: A survey
• Linear oblique derivative problems for the uniformly elliptic Hamilton- Jacobi-Bellman equation
• Optimal impulse and continuous control: Method of nonlinear quasi- variational inequalities
• On stochastic differential equations for multi-dimensional diffusion processes with boundary conditions
• Tracking periodic signals with the overtaking criterion
• Existence of Overtaking Optimal Trajectories for Problems with Convex Integrands
• Stochastic differential equations with reflecting boundary conditions
• Diffusion processes with boundary conditions

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