Controlled diffusions with boundary-crossing costs
type: Item
instance of: scholarly article
title: Controlled diffusions with boundary-crossing costs
zbMATH Open document ID: 0644.60080
DOI: 10.1007/BF01443615
author: Vivek Borkar
published in: Applied Mathematics and Optimization
publication date: 1988-01-01T00:00:00Z
review text: This paper considers the problem of controlling a nondegenerate diffusion in a bounded domain with a cost associated with the number of boundary- crossings of a subdomain before exiting from the original domain. The existence of optimal Markov controls is established by compactness arguments. The dynamic programming formalism is introduced and a verification theorem for optimal Markov controls is proved.
Mathematics Subject Classification ID: 60J60
Mathematics Subject Classification ID: 93E20
zbMATH DE Number: 4050695
zbMATH Keywords: controlled diffusions
zbMATH Keywords: number of boundary-crossings
zbMATH Keywords: optimal Markov controls
zbMATH Keywords: compactness arguments
zbMATH Keywords: dynamic programming formalism
MaRDI profile type: Publication
cites work: Q3929443
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cites work: Q4086524
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full work available at URL: https://doi.org/10.1007/bf01443615
OpenAlex ID: W2050458681
description: scientific article; zbMATH DE number 4050695