A bounded variation control problem for diffusion processes

SIAM Journal on Control and Optimization

Volumn 44, Issue 2, 2006, Pages 389-417

  Weerasinghe, Ananda ^a  

^a IOWA STATE UNIVERSITY   (United States)

Author keywords

Diffusions with reflections; Local time processes; Optimal stopping; Stochastic optimal control

Indexed keywords

LOCAL-TIME PROCESSES; OPTIMAL STOPPING; STOCHASTIC OPTIMAL CONTROL;

COSTS; DIFFERENTIAL EQUATIONS; STOCHASTIC CONTROL SYSTEMS; VARIATIONAL TECHNIQUES;

DIFFUSION;

EID: 33644932750     PISSN: 03630129     EISSN: None     Source Type: Journal    
DOI: 10.1137/S0363012903436119     Document Type: Article

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