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, Feller’s generalized differential operator DmD+ p with a nondecreasing weight function m is used as infinitesimal generator. In this manner an optimal control of a wider class of one dimensional Markov processes — including diffusion processes as well as birth-death processes is realized.
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© 1978 ACADEMIA, Publishing House of the Czechoslovak Academy of Sciences, Prague
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Groh, J. (1978). Optimal Control of One Dimensional Non-Conservative Quasi-Diffusion Processes. In: Transactions of the Eighth Prague Conference. Czechoslovak Academy of Sciences, vol 8A. Springer, Dordrecht. https://doi.org/10.1007/978-94-009-9857-5_24
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DOI: https://doi.org/10.1007/978-94-009-9857-5_24
Publisher Name: Springer, Dordrecht
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