Controlled Ornstein-Uhlenbeck process with chance constraints

DOI10.1007/BF00933602zbMath0417.93078MaRDI QIDQ755513

Kurt Helmes, Norbert Christopeit

Publication date: 1979

Published in: Journal of Optimization Theory and Applications (Search for Journal in Brave)

zbMATH Keywords

time-optimal controlnecessary conditionslinear feedbacklinear stochastic differential equationprobability constraints

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Linear systems in control theory (93C05) Optimal stochastic control (93E20)

Related Items (2)

Modeling the intraday electricity demand in Germany ⋮ On the existence of optimal solutions in a stochastic control model

Cites Work

• A Stochastic Control Model with Chance Constraints

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