``Minimum toll control of diffusions

DOI10.1016/0167-6911(89)90044-3zbMath0669.93086OpenAlexW2081114744MaRDI QIDQ1119239

Vivek S. Borkar

Publication date: 1989

Published in: Systems \& Control Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0167-6911(89)90044-3

zbMATH Keywords

Hamilton-Jacobi equationscontrolled diffusionminimum toll control

Mathematics Subject Classification ID

Dynamic programming in optimal control and differential games (49L20) Optimal stochastic control (93E20) Diffusion processes (60J60)

Cites Work

• Control of a partially observed diffusion up to an exit time
• Controlled diffusions with boundary-crossing costs
• Existence results for optimal stochastic controls
• Representation of Martingales, Quadratic Variation and Applications
• Bounds for the fundamental solution of a parabolic equation
• Existence of Optimal Strategies Based on Specified Information, for a Class of Stochastic Decision Problems
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