Optimal stopping and impulsive control of one-dimensional diffusion processes

DOI10.21136/cmj.1987.102154zbMath0639.93067OpenAlexW2249840120MaRDI QIDQ3780871

Robin Thomas

Publication date: 1987

Full work available at URL: https://eudml.org/doc/13639

zbMATH Keywords

optimal stoppingweighted Sobolev spacesdiffusion processesimpulsive controlsuperharmonic majorants

Mathematics Subject Classification ID

Variational inequalities (49J40) Sobolev spaces and other spaces of ``smooth functions, embedding theorems, trace theorems (46E35) Optimal stochastic control (93E20) Stopping times; optimal stopping problems; gambling theory (60G40) Diffusion processes (60J60) Harmonic, subharmonic, superharmonic functions on other spaces (31C05) Existence of optimal solutions to problems involving randomness (49J55)

Cites Work

• On the Asymptotic Behavior of the First Eigenvalue of a Second-Order Differential Operator with Small Parameter in Higher Derivatives
• Boréliens à coupes $K_\sigma$
• Markov processes and problems in analysis
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