Sensitive Discount Optimality in Controlled One-Dimensional Diffusions
Sensitive Discount Optimality in Controlled One-Dimensional Diffusions
In this paper we consider the problem of optimally controlling a diffusion process on a compact interval in one-dimensional Euclidean Space. Under the assumptions that the action space is finite and the cost rate, drift and diffusion coefficients are piecewise analytic, we present a constructive proof that there exist piecewise …