A Finite Fuel Stochastic Control Problem on a Finite Time Horizon

DOI10.1137/0330074MaRDI QIDQ4030364zbMATH OpenOpenAlexFDO

Authors Ananda Weerasinghe

Publication date 1 April 1993

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

Full work available at URL https://doi.org/10.1137/0330074

zbMATH Keywords

gamblingItô processlocal time

Mathematics Subject Classification ID

Stopping times; optimal stopping problems; gambling theory (60G40) Optimal stochastic control (93E20)

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(11)

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• Avoiding the origin: A finite-fuel stochastic control problem
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• Sustainable management of fossil fuels: a dynamic stochastic optimization approach with jump-diffusion
• Regular finite fuel stochastic control problems with exit time
• Finite Fuel Problem in Nonlinear Singular Stochastic Control
• scientific article; zbMATH DE number 3935839 (Why is no real title available?)
• A control problem with fuel constraint and Dawson-Watanabe superprocesses
• A bang-bang strategy for a finite fuel stochastic control problem
• Reflecting Ito Processes in a Stochastic Control Problem
• Uniqueness results for boundary value problems arising from finite fuel and other singular and unbounded stochastic control problems

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