Optimal stationary linear control of the Wiener process

DOI10.1007/BF00934934zbMath0446.93056MaRDI QIDQ1146157

Ioannis Karatzas, Václav E. Beneš

Publication date: 1981

Published in: Journal of Optimization Theory and Applications (Search for Journal in Brave)

zbMATH Keywords

Bellman equationinvariant measuresdead zone controllersnonanticipative lawsstationary stochastic control

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Linear systems in control theory (93C05) Optimal stochastic control (93E20)

Related Items

Dynamic sampling applied to problems in optimal control, A renewal theory approach to two-state switching problems with infinite values, Drift rate control of a Brownian processing system, On a stochastic representation for the principal eigenvalue of a second-order differential equation, Stationary stochastic asymmetric control

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• A comparison theorem for solutions of stochastic differential equations and its applications
• Liapunov criteria for weak stochastic stability
• On Transforming a Certain Class of Stochastic Processes by Absolutely Continuous Substitution of Measures
• Ergodic Properties of Recurrent Diffusion Processes and Stabilization of the Solution to the Cauchy Problem for Parabolic Equations
• Optimality Conditions for the Average Cost per Unit Time Problem with a Diffusion Model
• Optimal Stationary Control of a Linear System with State-Dependent Noise
• A TRANSFORMATION OF THE PHASE SPACE OF A DIFFUSION PROCESS THAT REMOVES THE DRIFT