Minimizing or Maximizing the Expected Time to Reach Zero

DOI10.1137/0325012zbMath0613.93067OpenAlexW2056768564MaRDI QIDQ4721949

William D. Sudderth, Victor C. Pestien, Steven Orey, David C. Heath

Publication date: 1987

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

Full work available at URL: http://hdl.handle.net/11299/199459

zbMATH Keywords

stochastic control systemsportfolio problemnonanticipative controlszero reachability

Mathematics Subject Classification ID

Optimal stochastic control (93E20) Stopping times; optimal stopping problems; gambling theory (60G40) Diffusion processes (60J60) Financial applications of other theories (91G80) Optimality conditions for problems involving randomness (49K45) Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.) (60J70)

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