Finite fuel Wiener-Poisson control

DOI10.1080/00207178408933259zbMath0544.93080OpenAlexW2061584834MaRDI QIDQ3335665

Howard J. Weiner

Publication date: 1984

Published in: International Journal of Control (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/00207178408933259

zbMATH Keywords

Bellman equationconstraintone-dimensional Wiener plus Poisson process

Mathematics Subject Classification ID

Dynamic programming in optimal control and differential games (49L20) Dynamic programming (90C39) Optimal stochastic control (93E20) Optimality conditions for problems involving randomness (49K45) Optimality conditions for solutions belonging to restricted classes (Lipschitz controls, bang-bang controls, etc.) (49K30)

Cites Work

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

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