Abstract
This paper considers control of nondegenerate diffusions in a bounded domain with a cost associated with the boundary-crossings of a subdomain. Existence of optimal Markov controls and a verification theorem are established.
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Communicated by W. Fleming
Research supported by ARO Contract No. DAAG29-84-K-0005 and AFOSR 85-0227.
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Borkar, V.S. Controlled diffusions with boundary-crossing costs. Appl Math Optim 18, 67–83 (1988). https://doi.org/10.1007/BF01443615
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DOI: https://doi.org/10.1007/BF01443615