An optimal control problem with a random stopping time
type: Item
instance of: scholarly article
title: An optimal control problem with a random stopping time
zbMATH Open document ID: 0681.93070
DOI: 10.1007/BF00939419
author: Philippe Michel
author: E. K. Boukas
author: Alain Haurie
published in: Journal of Optimization Theory and Applications
publication date: 1990-01-01T00:00:00Z
review text: This paper deals with a stochastic optimal control problem where the randomness is essentially concentrated in the stopping time terminating the process. If the stopping time is characterized by an intensity depending on the state and control variables, one can reformulate the problem equivalently as an infinite-horizon optimal control problem. Applying dynamic programming and minimum principle techniques to this associated deterministic control problem yields specific optimality conditions for the original stochastic control problem. It is also possible to characterize extremal steady states. The model is illustrated by an example related to the economics of technological innovation.
Mathematics Subject Classification ID: 93E20
Mathematics Subject Classification ID: 49L20
zbMATH DE Number: 4116449
zbMATH Keywords: stochastic optimal control
zbMATH Keywords: infinite-horizon optimal control problem
zbMATH Keywords: dynamic programming
zbMATH Keywords: minimum principle techniques
MaRDI profile type: Publication
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full work available at URL: https://doi.org/10.1007/bf00939419
OpenAlex ID: W2001943330
description: scientific article; zbMATH DE number 4116449