On optimal control of a Brownian motion

DOI10.1016/0167-6911(83)90072-5zbMath0525.93068OpenAlexW2034011926MaRDI QIDQ594837

Yu-Chung Liao

Publication date: 1983

Published in: Systems \& Control Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0167-6911(83)90072-5

zbMATH Keywords

quasi-variational inequalityreflected scalar Brownian motion

Mathematics Subject Classification ID

Variational inequalities (49J40) Dynamic programming in optimal control and differential games (49L20) Brownian motion (60J65) Dynamic programming (90C39) Optimal stochastic control (93E20)

Related Items (1)

Ergodic problem for optimal stochastic switching

Cites Work

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• Optimal Stochastic Switching and the Dirichlet Problem for the Bellman Equation
• Optimal control of finite dams: continuous output procedure
• The Optimal Policy for a Controlled Brownian Motion Process
• Optimality Conditions for the Average Cost per Unit Time Problem with a Diffusion Model
• Optimal Control of a Brownian Motion
• Converse Theorems for Stochastic Liapunov Functions
• Diffusion processes with boundary conditions

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