A leavable bounded-velocity stochastic control problem.

DOI10.1016/S0304-4149(01)00157-0zbMath1064.93049OpenAlexW1977844252MaRDI QIDQ1766070

Ioannis Karatzas, Daniel L. Ocone

Publication date: 25 February 2005

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

Full work available at URL: https://doi.org/10.1016/s0304-4149(01)00157-0

zbMATH Keywords

stochastic controlbang-bang controlpartially observed statediscretionary stopping

Mathematics Subject Classification ID

Brownian motion (60J65) Optimal stochastic control (93E20) Stopping times; optimal stopping problems; gambling theory (60G40)

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