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Stochastic control problems with functionals depending on local time - MaRDI portal

Stochastic control problems with functionals depending on local time

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Publication:1422746

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zbMath1062.93045MaRDI QIDQ1422746

Nikolai G. Dokuchaev

Publication date: 25 February 2004

Published in: Vestnik St. Petersburg University. Mathematics (Search for Journal in Brave)

zbMATH Keywords

probability distribution of the local sojourn of a diffusion process

Mathematics Subject Classification ID

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

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