A Constrained Markovian Diffusion Model for Controlling the Pollution Accumulation

This work presents a study of finite-time horizon stochastic control problem with restrictions on both the reward and cost functions. To this end, it uses standard dynamic programming techniques, an extension classic Lagrange multipliers approach. The coefficients considered here are supposed to be unbounded, obtained strategies non-stationary closed-loop type. driving thread paper is sequence examples pollution accumulation model, which used for purpose showing three algorithms replicating results. There, reader can find result interchangeability limits in Dirichlet problem.