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Controlled diffusions with constraints

Borkar, Vivek S and Ghosh, Mrinal K (1990) Controlled diffusions with constraints. In: Journal of Mathematical Analysis and Applications, 152 (1). pp. 88-108.

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Official URL: http://dx.doi.org/10.1016/0022-247X(90)90094-V

Abstract

Controlled diffusion problems with classical cost structures (ergodic, discounted, etc.) are considered when finitely many additional cost functionals of the same type are required to lie in prescribed intervals. Existence of an optimal Markov control is proved by convex analytic methods.

Item Type: Journal Article
Additional Information: Copyright of this article belongs to Elsevier Science.
Department/Centre: Division of Electrical Sciences > Electrical Engineering
Date Deposited: 11 Jul 2007
Last Modified: 25 Jan 2012 07:17
URI: http://eprints.iisc.ernet.in/id/eprint/11495

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