Continuous and impulsive control of diffusion processes in N

DOI10.1016/0362-546X(84)90123-8zbMath0513.93068OpenAlexW2001737059WikidataQ60503013 ScholiaQ60503013MaRDI QIDQ3659650

Perthame, Benoît

Publication date: 1984

Published in: Nonlinear Analysis: Theory, Methods & Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0362-546x(84)90123-8

zbMATH Keywords

Hamilton-Jacobi-Bellman equationsquasi-variational inequalitiesimpulsive controldynamic programming principlesemi-concave functions

Mathematics Subject Classification ID

Variational inequalities (49J40) Dynamic programming in optimal control and differential games (49L20) Dynamic programming (90C39) Nonlinear elliptic equations (35J60) Optimal stochastic control (93E20) Existence of optimal solutions to problems involving randomness (49J55)

Related Items (4)

OPTIMAL DIVIDEND POLICY WITH MEAN-REVERTING CASH RESERVOIR ⋮ An impulsive control problem with state constraint ⋮ A Maximum Principle via Malliavin calculus for combined stochastic control and impulse control of forward-backward systems ⋮ Optimal stochastic intervention control with application to the exchange rate

Cites Work

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• Control of diffusion processes in \(\mathbb R^N\)

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