Deterministic equivalent for a continuous linear-convex stochastic control problem

DOI10.1007/BF00940030zbMath0687.93081MaRDI QIDQ1263565

Suresh P. Sethi, Michael I. Taksar

Publication date: 1990

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

zbMATH Keywords

controlBrownian motionadditive inputfinite-horizon controllinear-convex optimal

Mathematics Subject Classification ID

Optimal stochastic control (93E20) Existence of optimal solutions to problems involving randomness (49J55)

Related Items (2)

Bellman equations for scalar linear convex stochastic control problems ⋮ Optimal advertising in exponentially decaying markets

Cites Work

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• Solution of a class of stochastic linear-convex control problems using deterministic equivalents
• Instantaneous Control of Brownian Motion
• Stochastic differential equations with reflecting boundary conditions

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