A VALUE ITERATION IN CONTROLLED DIFFUSION PROCESSES ASSOCIATED WITH STOPPING - Collections

＜journal article＞
A VALUE ITERATION IN CONTROLLED DIFFUSION PROCESSES ASSOCIATED WITH STOPPING

Creator	Creator Name Yoshida, Yuji 吉田, 祐治 Affiliation Affiliation Name Electron Optics Technical and Engineering Division, Japan Electron Optics Laboratory Ltd. 日本電子株式会社電子光学機器本部
Language	English
Publisher	Research Association of Statistical Sciences
Publisher	統計科学研究会
Date	1986-03
Source Title	Bulletin of informatics and cybernetics
Vol	22
Issue	1/2
First Page	59
Last Page	69
Publication Type	Version of Record
Access Rights	open access
Crossref DOI	https://doi.org/10.5109/13377
Related DOI	Bulletin of informatics and cybernetics \|\| 22(1/2) \|\| p59-69
Related DOI	http://bic.math.kyushu-u.ac.jp/
Related URI	Bulletin of informatics and cybernetics \|\| 22(1/2) \|\| p59-69
Related URI	http://bic.math.kyushu-u.ac.jp/
Relation	Bulletin of informatics and cybernetics \|\| 22(1/2) \|\| p59-69
Relation	http://bic.math.kyushu-u.ac.jp/
Abstract	The present paper deals with an optimal control problem in controlled diffusion processes with stopping times. In this paper we shall present a value iteration for the optimization problem associated ...with controls and stopping times. Further more we shall investigate the relations among the value interation, optimal stopping times and Bellman's equation.show more

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