Minimizing Infinite Time Horizon Discounted Cost with Mean, Variance, and Bounded Variation Controls

DOI10.1137/S0363012902403948zbMATH Open1049.93094MaRDI QIDQ4443045

Ananda Weerasinghe

Publication date: 8 January 2004

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

zbMATH Keywords

optimal stoppingprinciple of smooth fitstochastic optimal controldiffusion processes with reflections

Mathematics Subject Classification ID

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