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Harrison, J. Michael; Taksar, Michael I.

Instantaneous control of Brownian motion. (English) Zbl 0523.93068

Math. Oper. Res. 8, 439-453 (1983).
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Cited in 77 Documents

MSC:

93E20 Optimal stochastic control
60J65 Brownian motion
90C39 Dynamic programming
49J55 Existence of optimal solutions to problems involving randomness
49L20 Dynamic programming in optimal control and differential games
90B30 Production models
60H10 Stochastic ordinary differential equations (aspects of stochastic analysis)

Keywords:

Bellman equation; optimal control limit policy; reflecting barrier
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