A finite fuei stochastic control problem

DOI10.1080/17442508308833266MaRDI QIDQ3959864zbMATH OpenOpenAlexFDO

Authors S. D. Jacka

Publication date 1983

Published in Stochastics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/17442508308833266

zbMATH Keywords

finite fuel problemreflecting boundary stochastic differential equation

Mathematics Subject Classification ID

Existence of optimal solutions to problems involving randomness (49J55) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Diffusion processes (60J60) Optimal stochastic control (93E20)

Cites work

• scientific article; zbMATH DE number 3505981 (Why is no real title available?)
• Instantaneous Control of Brownian Motion
• Optimal control of a Brownian storage system
• Some solvable stochastic control problemst^†

Cited in

(5)

• Irreversible capital accumulation with economic impact
• Regular finite fuel stochastic control problems with exit time
• The solution to a second order linear ordinary differential equation with a non-homogeneous term that is a measure
• Existence of singular optimal control laws for stochastic differential equations
• A singular control model with application to the goodwill problem

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