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On the optimal control of stationary diffusion processes with natural boundaries and discounted cost

Published online by Cambridge University Press:  14 July 2016

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

Results similar to those in [3] are obtained for one-dimensional diffusion processes with discounted cost. The stronger assumption that at least one of the inaccessible boundaries is natural enables us to identify the solution of a differential equation corresponding to the future expected cost function.

Type
Research Papers
Information
Journal of Applied Probability , Volume 8 , Issue 3 , September 1971 , pp. 561 - 572
Copyright
Copyright © Applied Probability Trust 1971 

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References

[1] LoèVe, M. (1955) Probability Theory. Van Nostrand.Google Scholar
[2] Mandl, P. (1968) Analytical Treatment of One-Dimensional Markov Processes. Academia, Prague and Springer-Verlag, Berlin.Google Scholar
[3] Morton, R. (1971) On the optimal control of stationary diffusion processes with inaccessible boundaries and no discounting. J. Appl. Prob. 8, 551–560.CrossRefGoogle Scholar