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Optimal Control of Diffusion Processes
- Publisher
- Springer Journals
- Copyright
- Copyright © 1993 by Springer-Verlag New York Inc.
- Subject
- Mathematics; Calculus of Variations and Optimal Control; Optimization; Systems Theory, Control; Theoretical, Mathematical and Computational Physics; Mathematical Methods in Physics; Numerical and Computational Physics, Simulation
- ISSN
- 0095-4616
- eISSN
- 1432-0606
- DOI
- 10.1007/BF01182598
- Publisher site
- See Article on Publisher Site
Abstract
In this paper, we consider the control problem with optimal stopping of a jump process. Using compactification methods, we obtain the existence of an optimal Markovian optimal control.
Journal
Applied Mathematics and Optimization – Springer Journals
Published: Feb 2, 2005