Optimal Control of the Running Max

DOI10.1137/0329052zbMath0732.93085OpenAlexW2088554246MaRDI QIDQ3360113

Richard H. Stockbridge, Arthur C. Heinricher

Publication date: 1991

Published in: SIAM Journal on Control and Optimization (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1137/0329052

zbMATH Keywords

Dynamic programmingstochastic control problems

Mathematics Subject Classification ID

Optimal stochastic control (93E20)

Related Items (9)

Optimal inventory control with path-dependent cost criteria ⋮ Explicit solution of relative entropy weighted control ⋮ Quickest detection of a hidden target and extremal surfaces ⋮ Controlling the Running Maximum of a Diffusion Process and an Application to Queueing Systems ⋮ Correspondence between lifetime minimum wealth and utility of consumption ⋮ Long-term average control of a continuous, monotone process ⋮ Infinite Horizon Stochastic Optimal Control Problems with Running Maximum Cost ⋮ The Bellman equation for control of the running max of a diffusion and applications to look-back options ⋮ Dynamic programming and error estimates for stochastic control problems with maximum cost

This page was built for publication: Optimal Control of the Running Max