A Degree Method for Free Boundaries in Stochastic Control

DOI10.1137/0319019zbMath0462.93047OpenAlexW1981084583MaRDI QIDQ3912460

Ioannis Karatzas, Václav E. Beneš

Publication date: 1981

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

Full work available at URL: https://doi.org/10.1137/0319019

zbMATH Keywords

free boundary problemLeray-Schauder degreeBellmann equationbang-bang type

Mathematics Subject Classification ID

Optimal stochastic control (93E20) Degree, winding number (55M25) Riesz operators; eigenvalue distributions; approximation numbers, (s)-numbers, Kolmogorov numbers, entropy numbers, etc. of operators (47B06) Homotopy theory (55P99) Existence theories for free problems in one independent variable (49J05) Existence of optimal solutions to problems involving randomness (49J55)

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Certain convexity questions in stochastic optimization

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