Controlled diffusions with boundary-crossing costs

Author:

Borkar Vivek S.

Publisher

Springer Science and Business Media LLC

Subject

Applied Mathematics,Control and Optimization

Reference7 articles.

1. A Bensoussan, Stochastic Control by Functional Analysis Methods, North-Holland, Amsterdam, 1982

2. VS Borkar, A remark on the attainable distributions of controlled diffusions, Stochastics 18 (1) (1986), 17?23

3. A Friedman, Stochastic Differential Equations and Applications I, Academic Press, New York, 1975

4. D Gilbarg, NS Trudinger, Elliptic Partial Differential Equations of Second Order, Springer-Verlag, Berlin, 1977

5. NV Krylov, Controlled Diffusion Processes, Springer-Verlag, New York, 1980

Cited by 4 articles. 订阅此论文施引文献 订阅此论文施引文献,注册后可以免费订阅5篇论文的施引文献,订阅后可以查看论文全部施引文献

1. Self-tuning control of diffusions without the identifiability condition;Journal of Optimization Theory and Applications;1991-01

2. Controlled diffusions with constraints;Journal of Mathematical Analysis and Applications;1990-10

3. ‘Minimum toll’ control of diffusions;Systems & Control Letters;1989-05

4. Mimicking finite dimensional marginals of a controlled diffusion by simpler controls;Stochastic Processes and their Applications;1989-04

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