Generalized Solutions in Nonlinear Stochastic Control Problems

DOI10.1137/S0363012900374221zbMath1051.93097MaRDI QIDQ4537808

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Publication date: 23 June 2002

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

zbMATH Keywords

optimal controlgeneralized solutionsexistenceoptimal stoppingadmissible controlsdiffusion processnonlinear stochastic systemsimpulse controlintegral constraintdiscontinuous time-change

Mathematics Subject Classification ID

Optimal stochastic control (93E20) Stopping times; optimal stopping problems; gambling theory (60G40) Diffusion processes (60J60) Impulsive optimal control problems (49N25) Existence of optimal solutions to problems involving randomness (49J55)

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