On a stochastic control problem with exit constraints

DOI10.1007/BF01442892zbMath0452.93044OpenAlexW1992915095MaRDI QIDQ1148850

Martin V. Day

Publication date: 1980

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

Full work available at URL: https://doi.org/10.1007/bf01442892

zbMATH Keywords

diffusion controlquadratic cost

Mathematics Subject Classification ID

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

Cites Work

• Unnamed Item
• Exit probabilities and optimal stochastic control
• Elliptic Partial Differential Equations of Second Order

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