Stationary control of Brownian motion in several dimensions

DOI10.2307/1427119zbMath0574.93068OpenAlexW4254917546MaRDI QIDQ3693415

Ioannis Karatzas, R. Mitchell Cox

Publication date: 1985

Published in: Advances in Applied Probability (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.2307/1427119

zbMATH Keywords

maximum principlecomparison theoremsmultidimensional Brownian motion

Mathematics Subject Classification ID

Brownian motion (60J65) Optimal stochastic control (93E20) Optimality conditions for problems involving randomness (49K45)

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A partial history of the early development of continuous-time nonlinear stochastic systems theory ⋮ The probabilistic structure of controlled diffusion processes ⋮ Optimal controls for diffusion in \(R^ d\)- a min-max max-min formula for the minimal cost growth rate ⋮ Time-average control of martingale problems: the hamilton-jacobi-bellman equation ⋮ Ergodic optimal quadratic control for an affine equation with stochastic and stationary coefficients ⋮ MAXIMIZING THE GROWTH RATE UNDER RISK CONSTRAINTS

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