Asymptotic Wiener-Poisson control

DOI10.1007/BF00934532zbMath0479.93080OpenAlexW2062826624MaRDI QIDQ1161722

Howard J. Weiner

Publication date: 1982

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

Full work available at URL: https://doi.org/10.1007/bf00934532

zbMATH Keywords

maximum principleinfinite horizonBellman equationsoptimal bang-bang controlasymmetric control boundsintegral discounted quadratic costIto rulestochastic Wiener-Poisson process

Mathematics Subject Classification ID

Optimal stochastic control (93E20) Stochastic processes (60G99) Optimality conditions for problems involving randomness (49K45)

Cites Work

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• Optimal discounted linear control of the Wiener process
• Some solvable stochastic control problemst^†

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