Controlling a Process to a Goal in Finite Time

DOI10.1287/MOOR.14.3.400MaRDI QIDQ3827922zbMATH OpenOpenAlexFDO

Authors William D. Sudderth, Ananda Weerasinghe

Publication date 1989

Published in Mathematics of Operations Research (Search for Journal in Brave)

Full work available at URL http://hdl.handle.net/11299/199508

zbMATH Keywords

Ito processbold playred-and-black

Mathematics Subject Classification ID

Diffusion processes (60J60) Stopping times; optimal stopping problems; gambling theory (60G40) Optimal stochastic control (93E20) Probabilistic games; gambling (91A60)

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Cited in

(18)

• Optimal arbitrage under model uncertainty
• Optimally investing to reach a bequest goal
• Purchasing term life insurance to reach a bequest goal while consuming
• Controlling a stopped diffusion process to reach a goal
• Strong Optimality of Bold Play for Discounted Dubins-Savage Gambling Problems with Time-Dependent Parameters
• Risk sensitive control of the lifetime ruin problem
• A Finite Fuel Stochastic Control Problem on a Finite Time Horizon
• On optimal strategies for a betting game
• Continuous-Time Red and Black: How to Control a Diffusion to a Goal
• Bankruptcy and expected utility maximization
• Bankruptcy and expected utility maximization
• Purchasing casualty insurance to avoid lifetime ruin
• Finite-time optimal control of a process leaving an interval
• Diffusion approximations for insurance risk processes
• REACHING A BEQUEST GOAL WITH LIFE INSURANCE: AMBIGUITY ABOUT THE RISKY ASSET'S DRIFT AND MORTALITY'S HAZARD RATE
• On Optimality of Bold Play for Discounted Dubins-Savage Gambling Problems with Limited Playing Times
• Purchasing life insurance to reach a bequest goal
• The controller-and-stopper game for a linear diffusion.

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