On the control of diffusion processes

descriptionPublicationkeyboard_double_arrow_right Article 01 Aug 1974 English Publisher:Springer Science and Business Media LLCJournal:Journal of Optimization Theory and Applications, volume 14, pages 151-162 (issn: 0022-3239, eissn: 1573-2878,

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Authors: Morton, R.;

doi: 10.1007/bf00932937

On the control of diffusion processes

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Abstract

This paper considers the control of one-dimensional diffusion processes where one of the boundaries is inaccessible and the other is regular. Costs arise from a rate depending upon the current state and control and also from jumps from the regular boundary. The boundary condition on the future cost function at the inaccessible boundary resembles that at a reflecting boundary. Theorems on optimality are proved.

Related Organizations

University of Manchester
United Kingdom
University of Manchester
United Kingdom

Keywords

Optimal stochastic control, Diffusion processes

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