Singular Stochastic Control Problems

DOI10.1137/S0363012902412719zbMath1101.93084OpenAlexW2118782705MaRDI QIDQ4652556

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Publication date: 28 February 2005

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

Full work available at URL: https://doi.org/10.1137/s0363012902412719

zbMATH Keywords

optimal controlnonlinear stochastic systemssingular controltime change

Mathematics Subject Classification ID

Optimal stochastic control (93E20) Existence of optimal solutions belonging to restricted classes (Lipschitz controls, bang-bang controls, etc.) (49J30) Impulsive optimal control problems (49N25)

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