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Degenerate Variance Control of a One-Dimensional Diffusion - MaRDI portal

Degenerate Variance Control of a One-Dimensional Diffusion

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Publication:4507442

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DOI10.1137/S0363012998347122zbMath1001.93090MaRDI QIDQ4507442

Ananda P. N. Weerasinghe, Daniel L. Ocone

Publication date: 18 October 2000

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

zbMATH Keywords

Hamilton-Jacobi-Bellman equation stochastic optimal control degenerate diffusion feedback control smooth fit bang-bang diffusion variance controlled diffusion

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Optimal stochastic control (93E20)

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