Optimal singular control strategies for controlling a process to a goal.
type: Item
instance of: scholarly article
title: Optimal singular control strategies for controlling a process to a goal.
zbMATH Open document ID: 1056.93071
DOI: 10.1016/S0304-4149(99)00028-9
author: Douglas W. McBeth
author: Ananda Weerasinghe
published in: Stochastic Processes and their Applications
publication date: 2002-08-29T00:00:00Z
review text: The problem addressed in the paper is to find an optimal strategy, which consists of an optimal choice of a risky asset and allocation of wealth, to maximize the probability of reaching a given total wealth of \(a\) which is strictly larger than the initial condition. The amount invested in the risky asset is given by an Ito process with infinitesimal parameters \(\mu \) and \(\sigma \). At time \(t\), the choice of the risky asset is represented by \(\mu (t)\) and \(\sigma (t)\), which comes from a control set depending on the investor's wealth in the risky asset. At any time wealth can be transferred between the risky asset and a bank account with no transaction fee as long as the transaction process is of bounded variation.
Mathematics Subject Classification ID: 93E20
Mathematics Subject Classification ID: 60G40
Mathematics Subject Classification ID: 60J60
zbMATH DE Number: 1792536
zbMATH Keywords: stochastic optimal control
zbMATH Keywords: local time
zbMATH Keywords: diffusion process
MaRDI profile type: Publication
cites work: Q4086303
cites work: Q4032143
cites work: Continuous-Time Red and Black: How to Control a Diffusion to a Goal
cites work: Continuous-Time Casino Problems
cites work: Optimal investment and consumption with transaction costs
cites work: Using fuel to control a process to a goal
cites work: A bang-bang strategy for a finite fuel stochastic control problem
cites work: Singular optimal strategies for investment with transaction costs
full work available at URL: s0304-4149(99)00028-9
OpenAlex ID: W2085247744
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description: scientific article; zbMATH DE number 1792536