Title :
Optimal Control of Diffusion Processes with Switching Costs
Author :
Lenhart, Suzanne N. ; Belbas, Stavros A.
Author_Institution :
Department of Mathematics, University of Tennessee, Knoxville, Tennessee 37996
Abstract :
The problem of optimal switching control of a diffusion process with costly switchings leads us to a system of fully nonlinear elliptic partial differential equations with implicit obstacles. We obtain results on the existence, uniqueness and regularity of the solution of this system.
Keywords :
Control systems; Cost function; Differential equations; Diffusion processes; Educational institutions; Mathematics; Nonlinear control systems; Optimal control; Partial differential equations; Stochastic systems;
Conference_Titel :
American Control Conference, 1982
Conference_Location :
Arlington, VA, USA
