Optimal discounted linear control of the Wiener process

DOI10.1007/BF01262983zbMath0417.93081OpenAlexW1995569041MaRDI QIDQ755515

Ioannis Karatzas

Publication date: 1980

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

Full work available at URL: https://doi.org/10.1007/bf01262983

zbMATH Keywords

Wiener processBellman equationstochastic differential equationsdead zone controllersdiscounted linear controldiscounted stochastic control

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Optimal stochastic control (93E20)

Related Items

Asymptotic Wiener-Poisson control ⋮ Competition under industry-stock-driven prevailing market price: environmental consequences and the effect of uncertainty ⋮ Time-dependent and independent control rules for coordinated production and pricing under demand uncertainty and finite planning horizons ⋮ Finite fuel Wiener-Poisson control ⋮ Asymmetric Wiener Control ⋮ Optimal discounted control for a continuous time inventory model ⋮ Wiener-Poisson control problems† ⋮ Distributed Wiener-Poisson control †

Cites Work

• Optimal Discounted Stochastic Control for Diffusion Processes
• A TRANSFORMATION OF THE PHASE SPACE OF A DIFFUSION PROCESS THAT REMOVES THE DRIFT
• Unnamed Item