Single person controlled diffusions with discounted costs

DOI10.1007/BF00935107zbMath0248.49015OpenAlexW2159393361MaRDI QIDQ2556574

Stanley R. Pliska

Publication date: 1973

Published in: Journal of Optimization Theory and Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/bf00935107

Mathematics Subject Classification ID

Optimality conditions (49K99)

Related Items (5)

Optimal control of one dimensional non-conservative quasi-diffusion processes ⋮ Optimal control of a Brownian storage system ⋮ Two-mode control of Brownian motion with quadratic loss and switching costs ⋮ Controlled one dimensional diffusions with switching costs - average cost criterion ⋮ A diffusion model for the control of a multipurpose reservoir system

Cites Work

• Duality and a priori estimates in Markovian optimization problems
• A Generalization of LaSalle’s “Bang-Bang” Principle
• Multiperson Controlled Diffusions
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