On the optimal control of stationary diffusion processes with inaccessible boundaries and no discounting
- 1 March 1971
- journal article
- research article
- Published by Cambridge University Press (CUP) in Journal of Applied Probability
- Vol. 8 (03) , 551-560
- https://doi.org/10.1017/s0021900200035634
Abstract
Summary Because there are no boundary conditions, extra properties are required in order to identify the correct potential cost function. A solution of the Dynamic Programming equation for one-dimensional processes leads to an optimal solution within a wide class of alternatives (Theorem 1), and is completely optimal if certain conditions are satisfied (Theorem 2). Necessary conditions are also given. Several examples are solved, and some extension to the multidimensional case is shown.Keywords
This publication has 4 references indexed in Scilit:
- On Optimal Control of a Non-Terminating Diffusion Process with ReflectionTheory of Probability and Its Applications, 1969
- A Solution to a Countable System of Equations Arising in Markovian Decision ProcessesThe Annals of Mathematical Statistics, 1967
- On optimal control of a non-stopped diffusion processProbability Theory and Related Fields, 1965
- On the Control of Non-Terminating Diffusion ProcessesTheory of Probability and Its Applications, 1964