Optimal singular control strategies for controlling a process to a goal.

DOI10.1016/S0304-4149(99)00028-9zbMath1056.93071OpenAlexW2085247744MaRDI QIDQ1613635

Ananda P. N. Weerasinghe, Douglas W. McBeth

Publication date: 29 August 2002

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/s0304-4149(99)00028-9

zbMATH Keywords

stochastic optimal controldiffusion processlocal time

Mathematics Subject Classification ID

Optimal stochastic control (93E20) Stopping times; optimal stopping problems; gambling theory (60G40) Diffusion processes (60J60)

Related Items (1)

Singular optimal strategies for investment with transaction costs

Cites Work

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• Optimal investment and consumption with transaction costs
• Using fuel to control a process to a goal
• Continuous-Time Red and Black: How to Control a Diffusion to a Goal
• Continuous-Time Casino Problems
• A bang-bang strategy for a finite fuel stochastic control problem

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