A Bounded Variation Control Problem for Diffusion Processes

DOI10.1137/S0363012903436119zbMath1085.93030MaRDI QIDQ5317136

Ananda P. N. Weerasinghe

Publication date: 15 September 2005

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

zbMATH Keywords

optimal stoppingstochastic optimal controldiffusions with reflectionslocal-time processes

Mathematics Subject Classification ID

Optimal stochastic control (93E20) Applications of stochastic analysis (to PDEs, etc.) (60H30)

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