Abstract
This paper considers the control of one-dimensional diffusion processes where one of the boundaries is inaccessible and the other is regular. Costs arise from a rate depending upon the current state and control and also from jumps from the regular boundary. The boundary condition on the future cost function at the inaccessible boundary resembles that at a reflecting boundary. Theorems on optimality are proved.
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References
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Communicated by A. V. Balakrishnan
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Morton, R. On the control of diffusion processes. J Optim Theory Appl 14, 151–162 (1974). https://doi.org/10.1007/BF00932937
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DOI: https://doi.org/10.1007/BF00932937