A Finite Fuel Stochastic Control Problem on a Finite Time Horizon

DOI10.1137/0330074zbMath0770.93093OpenAlexW2059152273MaRDI QIDQ4030364

Ananda P. N. Weerasinghe

Publication date: 1 April 1993

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

Full work available at URL: https://doi.org/10.1137/0330074

zbMATH Keywords

local timegamblingItô process

Mathematics Subject Classification ID

Optimal stochastic control (93E20) Stopping times; optimal stopping problems; gambling theory (60G40)

Related Items (2)

Avoiding the origin: A finite-fuel stochastic control problem ⋮ Regular finite fuel stochastic control problems with exit time

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