On the control of Brownian motion in a half-plane with an oblique reflection on the boundary

S. V. Anulova

Moscow

Abstract: We consider a control problem for a Brownian motion in a halfplane with an oblique reflection on the boundary. The problem is analysed in a manner similar to that of N. V. Krylov. The reward function is identified with the solution of a corresponding partial differential equation with boundary conditions.

Received: 17.03.1977

 English version: Theory of Probability and its Applications, 1980, 25:1, 41–57

Bibliographic databases:

• 
• 
•