Optimal Control under a Dynamic Fuel Constraint

DOI10.1137/040616966zbMath1116.49306MaRDI QIDQ3427531

Peter Bank

Publication date: 20 March 2007

Published in: SIAM Journal on Control and Optimization (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1137/040616966

zbMATH Keywords

Snell envelope; monotone follower; dynamic fuel constraint

Mathematics Subject Classification ID

93E20: Optimal stochastic control

60H30: Applications of stochastic analysis (to PDEs, etc.)

91G10: Portfolio theory

49J55: Existence of optimal solutions to problems involving randomness

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