This article is cited in 14 papers

Short Communications

On optimal control of a non-stopped diffusion process with reflection

A. Ya. Kogan

Moscow

Abstract: In the paper the results of [1] are generalized to the multi-dimensional case, when boundary conditions are reduced to reflection in a non-tangential direction $\gamma$. It is supposed that the drift coefficients only are controllable. The method proposed to prove Theorem 1 gives a more effective procedure of finding the optimal value of the performance $\widehat\theta$ than that in [1].

Received: 05.04.1968

 English version: Theory of Probability and its Applications, 1969, 14:3, 496–502

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