Probabilistic aspects of finite-fuel stochastic control

DOI10.1073/PNAS.82.17.5579zbMath0572.93078OpenAlexW1978492332WikidataQ37528991 ScholiaQ37528991MaRDI QIDQ3690736

Ioannis Karatzas

Publication date: 1985

Published in: Proceedings of the National Academy of Sciences (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1073/pnas.82.17.5579

zbMATH Keywords

finite horizondirect probabilistic methodologyfinite-fuel problemsmonotone bounded processswitching paths

Mathematics Subject Classification ID

Brownian motion (60J65) Optimal stochastic control (93E20) Stopping times; optimal stopping problems; gambling theory (60G40) Existence of optimal solutions to problems involving randomness (49J55)

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