Stochastic Control of One-Dimensional Diffusions Whose Generators Have Discontinuous Coefficients

DOI10.1137/0323025zbMath0568.93072OpenAlexW1964626497MaRDI QIDQ3686604

Hideo Nagai

Publication date: 1985

Published in: SIAM Journal on Control and Optimization (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1137/0323025

zbMATH Keywords

non-smooth coefficientpay-off functionone-dimensional controlled diffusion processes

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Variational inequalities (49J40) Optimal stochastic control (93E20) Diffusion processes (60J60) Optimality conditions for problems involving randomness (49K45) Existence of optimal solutions to problems involving randomness (49J55)

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