Controlled diffusions with constraints

DOI10.1016/0022-247X(90)90094-VzbMath0746.60078OpenAlexW2066416154MaRDI QIDQ1173639

Mrinal K. Ghosh, Vivek S. Borkar

Publication date: 25 June 1992

Published in: Journal of Mathematical Analysis and Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0022-247x(90)90094-v

zbMATH Keywords

optimal Markov controlLagrange multiplier formulationControlled vector diffusion processesrelaxed Markov controlstime-average cost

Mathematics Subject Classification ID

Control/observation systems governed by partial differential equations (93C20) Optimal stochastic control (93E20) Diffusion processes (60J60) Existence theories for optimal control problems involving partial differential equations (49J20) Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.) (60J70) Existence of optimal solutions to problems involving randomness (49J55)

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