Controlled Ornstein-Uhlenbeck process with chance constraints

DOI10.1007/BF00933602MaRDI QIDQ755513zbMATH OpenFDO

Authors K. Helmes, Norbert Christopeit

Publication date 1979

Published in Journal of Optimization Theory and Applications (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/BF00933602

zbMATH Keywords

linear feedbacklinear stochastic differential equationnecessary conditionsprobability constraintstime-optimal control

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Linear systems in control theory (93C05) Optimal stochastic control (93E20)

Cites work

• A Stochastic Control Model with Chance Constraints

Cited in

(2)

• Modeling the intraday electricity demand in Germany
• On the existence of optimal solutions in a stochastic control model

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