Deterministic equivalent for a continuous linear-convex stochastic control problem
type: Item
instance of: scholarly article
title: Deterministic equivalent for a continuous linear-convex stochastic control problem
zbMATH Open document ID: 0687.93081
DOI: 10.1007/BF00940030
published in: Journal of Optimization Theory and Applications
publication date: 1990-01-01T00:00:00Z
review text: See the preview in Zbl 0666.93129.
Mathematics Subject Classification ID: 93E20
Mathematics Subject Classification ID: 49J55
zbMATH DE Number: 4127143
zbMATH Keywords: finite-horizon control
zbMATH Keywords: additive input
zbMATH Keywords: linear-convex optimal
zbMATH Keywords: control
zbMATH Keywords: Brownian motion
author: Suresh P. Sethi
author: Michael Taksar
MaRDI profile type: Publication
cites work: Q4086303
cites work: Q3959003
cites work: Solution of a class of stochastic linear-convex control problems using deterministic equivalents
cites work: Stochastic differential equations with reflecting boundary conditions
cites work: Instantaneous Control of Brownian Motion
description: scientific article; zbMATH DE number 4127143