Exact solution of an optimal control problem of investment in a diffusion model

DOI10.1070/RM1997V052N02ABEH001787zbMath0926.91033OpenAlexW2028310859MaRDI QIDQ4232350

Elena Boguslavskaya

Publication date: 11 November 1999

Published in: Russian Mathematical Surveys (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1070/rm1997v052n02abeh001787

zbMATH Keywords

exact solutionadmissible controlsoptimal control problemutility functioninvestmentdiffusion modelstandard Wiener processcriterion of optimality

Mathematics Subject Classification ID

Application models in control theory (93C95) Optimality conditions for problems involving ordinary differential equations (49K15)

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