A note on two-sided stochastic control problems

DOI10.1016/0167-6911(86)90028-9zbMath0598.93068OpenAlexW2078952035MaRDI QIDQ1080406

Hiroaki Morimoto

Publication date: 1986

Published in: Systems \& Control Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0167-6911(86)90028-9

zbMATH Keywords

existence of an optimal policytwo-sided stochastic control problems

Mathematics Subject Classification ID

Brownian motion (60J65) Optimal stochastic control (93E20) Martingales with continuous parameter (60G44) Existence of optimal solutions to problems involving randomness (49J55)

Cites Work

• Unnamed Item
• Calcul stochastique et problèmes de martingales
• The monotone follower problem in stochastic decision theory
• On skew Brownian motion
• Connections between Optimal Stopping and Singular Stochastic Control I. Monotone Follower Problems
• Connections Between Optimal Stopping and Singular Stochastic Control II. Reflected Follower Problems
• Some solvable stochastic control problemst^†
• A class of singular stochastic control problems

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