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Optimal control of diffusion processes with reflection

✍ Scribed by M. L. Puterman

Publisher
Springer
Year
1977
Tongue
English
Weight
691 KB
Volume
22
Category
Article
ISSN
0022-3239

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πŸ“œ SIMILAR VOLUMES

Characterization of optimality for contr
Characterization of optimality for controlled diffusion processes
✍ Xun Yu Zhou πŸ“‚ Article πŸ“… 1997 πŸ› Elsevier Science 🌐 English βš– 331 KB

This paper studies controlled systems governed by Ito's stochastic differential equations where control variables are allowed to enter both drift and diffusion terms. Optimal controls are characterized by necessary and sufficient conditions which involve super-differentials and sub-differentials, ra