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ArticleSingular ergodic control for multidimensional Gaussian processes

J. L. Menaldi1992

Article1992

Singular ergodic control for multidimensional Gaussian processes

J. L. Menaldi · Maurice Robin · Michael Taksar

28 citations·0/0 files stored·Mathematics of Control Signals and Systems

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Stochastic processes and financial applications Stability and Controllability of Differential Equations Adaptive Dynamic Programming Control

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References

1983Stochastic Differential Equations and Diffusion Processes 1987Brownian Motion and Stochastic Flow Systems.1984Stochastic differential equations with reflecting boundary conditions 1981Stochastic Differential Equations and Diffusion Processes 1983Introduction to Stochastic Integration 2002Un Cours sur les Intégrales Stochastiques 1987Stochastic differential equations for multi-dimensional domain with reflecting boundary 1984Connections between Optimal Stopping and Singular Stochastic Control I. Monotone Follower Problems

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Year1992

Typearticle

Published1992-03-01

VenueMathematics of Control Signals and Systems

ISSN-L0932-4194

Languageen

Citations28

Files0 public / 0

ShelfStochastic processes and financial applications

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doi10.1007/bf01211978

openalex_workW2051677259

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