On Benes' bang-bang control problem

DOI10.1007/BF01460123zbMath0514.60060MaRDI QIDQ1051343

Kurt Helmes, Norbert Christopeit

Publication date: 1982

Published in: Applied Mathematics and Optimization (Search for Journal in Brave)

zbMATH Keywords

bang-bang solution, solutions to associated discrete time problems

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Optimal stochastic control (93E20) Stochastic integral equations (60H20)

Related Items (7)

Optimal control for a class of partially observable systems^† ⋮ A stability theorem for stochastic differential equations with application to storage processes, random walks and optimal stochastic control problems ⋮ Difference methods for stochastic differential equations with discontinuous coefficients ⋮ A stability theorem for stochastic differential equations and application to stochastic control problems ⋮ UNCERTAIN BANG-BANG CONTROL FOR CONTINUOUS TIME MODEL ⋮ Optimal discounted control for a continuous time inventory model ⋮ Existence of optimal controls for partially observed linear diffusions

Cites Work

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• The Optimal Control of a Stochastic System
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• On the Stochastic Maximum Principle
• Optimal Control of a Brownian Motion
• On “predicted miss” stochastic control problems
• Existence of optimal stochastic controls under partial observation
• A diffusion model for the control of a dam
• A continuous time inventory model

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