A Constrained Markovian Diffusion Model for Controlling the Pollution Accumulation
This work presents a study of a finite-time horizon stochastic control problem with restrictions on both the reward and the cost functions. To this end, it uses standard dynamic programming techniques, and an extension of the classic Lagrange multipliers approach. The coefficients considered here ar...
| Published in: | Mathematics |
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| Main Authors: | , , |
| Format: | Article |
| Language: | English |
| Published: |
MDPI AG
2021-06-01
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| Subjects: | |
| Online Access: | https://www.mdpi.com/2227-7390/9/13/1466 |