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On the optimal control of stationary diffusion processes with inaccessible boundaries and no discounting

Published online by Cambridge University Press:  14 July 2016

R. Morton
R. Morton*
Affiliation:
University of Manchester
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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.

Type
Research Papers
Information
Journal of Applied Probability , Volume 8 , Issue 3 , September 1971 , pp. 551 - 560
Copyright
Copyright © Applied Probability Trust 1971 

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References

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