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Stationary control of brownian motion in several dimensions

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Stochastic Differential Systems

Part of the book series: Lecture Notes in Control and Information Sciences ((LNCIS,volume 78))

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References

  1. BENEŠ, V.E. (1975) Composition and invariance methods for solving some stochastic control problems. Adv. Appl. Probability 7, 299–329.

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  2. BENEŠ, V.E. & KARATZAS, I. (1981) Optimal stationary linear control of the Wiener process. J. Optim. Theory Appl. 35, 611–633.

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  3. COX, R.M. (1984) Stationary and Discounted Stochastic Control. Doctoral Dissertation, Columbia University, New York.

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  4. COX, R.M. & KARATZAS, I. (1985) Stationary control of Brownian motion in several dimensions. Adv. Appl. Probability 18 (3), to appear.

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  5. IKEDA, N. & WATANABE, S. (1977) A comparison theorem for solutions of stochastic differential equations and its applications. Osaka J. Math. 14, 619–633.

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Authors and Affiliations

  1. Department of Statistics, Columbia University, 10027, New York, N.Y., USA

    R. Mitchell Cox & Ioannis Karatzas

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  1. R. Mitchell Cox
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  2. Ioannis Karatzas
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Norbert Christopeit Kurt Helmes Michael Kohlmann

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© 1986 Springer-Verlag

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Mitchell Cox, R., Karatzas, I. (1986). Stationary control of brownian motion in several dimensions. In: Christopeit, N., Helmes, K., Kohlmann, M. (eds) Stochastic Differential Systems. Lecture Notes in Control and Information Sciences, vol 78. Springer, Berlin, Heidelberg. https://doi.org/10.1007/BFb0041156

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  • DOI: https://doi.org/10.1007/BFb0041156

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  • Publisher Name: Springer, Berlin, Heidelberg

  • Print ISBN: 978-3-540-16228-5

  • Online ISBN: 978-3-540-39767-0

  • eBook Packages: Springer Book Archive

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