Optimal control of one dimensional non-conservative quasi-diffusion processes

Jürgen Groh

Stochastic Processes and their Applications, 1980, vol. 10, issue 3, 271-297

Abstract: An extension of the work of P. Mandl concerning the optimal control of time-homogeneous diffusion processes in one dimension is given. Instead of a classical second order differential operator as infinitesimal generator, Feller's generalized differential operator DmD+p with a possibly nondecreasing weight function m is used. In this manner an optimal control of a wider class of one dimensional Marcov processes-including diffusions as well as birth and death processes-is realized.

Keywords: Stochastic; control; diffusion; processes; Markov; processes; irth-death; processes (search for similar items in EconPapers)
Date: 1980
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