Reflected Brownian Motion in the “Bang-Bang” Control of Brownian Drift

DOI10.1137/0319027zbMath0462.49024OpenAlexW2009534880MaRDI QIDQ3913373

Steven E. Shreve

Publication date: 1981

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

Full work available at URL: https://doi.org/10.1137/0319027

zbMATH Keywords

bang-bang control

Mathematics Subject Classification ID

Brownian motion (60J65) Optimality conditions for solutions belonging to restricted classes (Lipschitz controls, bang-bang controls, etc.) (49K30) Existence of optimal solutions to problems involving randomness (49J55)

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