Generalized Solutions in Nonlinear Stochastic Control Problems

DOI10.1137/S0363012900374221MaRDI QIDQ4537808zbMATH OpenFDO

Authors

Publication date 23 June 2002

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

Full work available at URL https://doi.org/10.1137/S0363012900374221

zbMATH Keywords

admissible controlsdiffusion processdiscontinuous time-changeexistencegeneralized solutionsimpulse controlintegral constraintnonlinear stochastic systemsoptimal controloptimal stopping

Mathematics Subject Classification ID

Existence of optimal solutions to problems involving randomness (49J55) Impulsive optimal control problems (49N25) Stopping times; optimal stopping problems; gambling theory (60G40) Diffusion processes (60J60) Optimal stochastic control (93E20)

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(20)

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