Controlled diffusions with boundary-crossing costs

DOI10.1007/BF01443615zbMath0644.60080OpenAlexW2050458681MaRDI QIDQ1102632

Vivek S. Borkar

Publication date: 1988

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

Full work available at URL: https://doi.org/10.1007/bf01443615

zbMATH Keywords

controlled diffusionscompactness argumentsdynamic programming formalismnumber of boundary-crossingsoptimal Markov controls

Mathematics Subject Classification ID

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

Related Items (4)

Mimicking finite dimensional marginals of a controlled diffusion by simpler controls ⋮ ``Minimum toll control of diffusions ⋮ Self-tuning control of diffusions without the identifiability condition ⋮ Controlled diffusions with constraints

Cites Work

• Unnamed Item
• Unnamed Item
• Existence results for optimal stochastic controls
• A remark on the attainable distributions of controlled diffusions
• ON STRONG SOLUTIONS AND EXPLICIT FORMULAS FOR SOLUTIONS OF STOCHASTIC INTEGRAL EQUATIONS
• Elliptic Partial Differential Equations of Second Order

This page was built for publication: Controlled diffusions with boundary-crossing costs