On some cheap control problems for diffusion processes
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- by José-Luis Menaldi and Maurice Robin PDF
- Trans. Amer. Math. Soc. 278 (1983), 771-802 Request permission
Abstract:
We consider several cases of control problems for diffusion processes when the payoff functional does not depend explicitly on the control. We prove the continuity of the optimal cost function and give a characterization of this cost with a quasi-variational inequality interpreting the problem as limit of an impulse control problem when the cost of impulse tends to zero. Moreover, we show the existence of an optimal control for some particular situations.References
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Additional Information
- © Copyright 1983 American Mathematical Society
- Journal: Trans. Amer. Math. Soc. 278 (1983), 771-802
- MSC: Primary 93E20; Secondary 60J60
- DOI: https://doi.org/10.1090/S0002-9947-1983-0701523-2
- MathSciNet review: 701523