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

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  • Groh, Jürgen

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.

Suggested Citation

  • Groh, Jürgen, 1980. "Optimal control of one dimensional non-conservative quasi-diffusion processes," Stochastic Processes and their Applications, Elsevier, vol. 10(3), pages 271-297, October.
    • Handle: RePEc:eee:spapps:v:10:y:1980:i:3:p:271-297
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