Truncation as a method of parametrization and solution of stochastic control problems of optimal random duration

zbMath0422.93100MaRDI QIDQ1134121

A. A. Gak, Vladimir Katkovnik

Publication date: 1978

Published in: Automation and Remote Control (Search for Journal in Brave)

zbMATH Keywords

optimal stoppinglinear control systemBellman functionstochastic control problemsmethod of truncationoptimal random durationquadratic performance functional

Mathematics Subject Classification ID

Linear systems in control theory (93C05) Optimal stochastic control (93E20) Stopping times; optimal stopping problems; gambling theory (60G40)

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