Borkar, Vivek S. (1988) Controlled diffusions with boundary-crossing costs Applied Mathematics and Optimization, 18 (1). pp. 67-83. ISSN 0095-4616
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Official URL: http://www.springerlink.com/content/l5h7807tk7um04...
Related URL: http://dx.doi.org/10.1007/BF01443615
Abstract
This paper considers control of nondegenerate diffusions in a bounded domain with a cost associated with the boundary-crossings of a subdomain. Existence of optimal Markov controls and a verification theorem are established.
| Item Type: | Article |
|---|---|
| Source: | Copyright of this article belongs to Springer-Verlag. |
| ID Code: | 5348 |
| Deposited On: | 18 Oct 2010 08:52 |
| Last Modified: | 20 May 2011 10:49 |
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