Instantaneous control of Brownian motion. (English) Zbl 0523.93068
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) |