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On the optimal control of stationary diffusion processes with natural boundaries and discounted cost
Published online by Cambridge University Press: 14 July 2016
Summary
Results similar to those in [3] are obtained for one-dimensional diffusion processes with discounted cost. The stronger assumption that at least one of the inaccessible boundaries is natural enables us to identify the solution of a differential equation corresponding to the future expected cost function.
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- Copyright © Applied Probability Trust 1971
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