Minimizing or Maximizing the Expected Time to Reach Zero

DOI10.1137/0325012MaRDI QIDQ4721949zbMATH OpenOpenAlexFDO

Authors Victor C. Pestien, William D. Sudderth, David Heath, Steven Orey

Publication date 1987

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

Full work available at URL http://hdl.handle.net/11299/199459

zbMATH Keywords

nonanticipative controlsportfolio problemstochastic control systemszero reachability

Mathematics Subject Classification ID

Optimality conditions for problems involving randomness (49K45) Stopping times; optimal stopping problems; gambling theory (60G40) Diffusion processes (60J60) Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.) (60J70) Financial applications of other theories (91G80) Optimal stochastic control (93E20)

Recommendations

• Stochastic time-optimal control problems
• Reaching Zero Rapidly
• scientific article; zbMATH DE number 3985106
• Optimal Control of Favorable Games with a Time Limit
• Derivation of optimality conditions for a stochastic control probleim

Cited in

(21)

• Admissible investment strategies in continuous trading
• Alternative growth versus security in continuous dynamic trading
• A note on portfolio optimization with path-dependent utility
• Linear models of economic survival under production uncertainty
• Optimal principal agent contracts for a class of incentive schemes: A characterization and the rate of approach to efficiency
• Theory of dynamic portfolio for survival under uncertainty
• Maximizing a robust goal-reaching probability with penalization on ambiguity
• Robust optimal reinsurance in minimizing the penalized expected time to reach a goal
• On the St. Petersburg Paradox
• The incentives of hedge fund fees and high-water marks
• Using fuel to control a process to a goal
• Minimizing the Expected Market Time to Reach a Certain Wealth Level
• Reaching Zero Rapidly
• Reflecting Ito Processes in a Stochastic Control Problem
• Optimal reinsurance: minimize the expected time to reach a goal
• Bankruptcy and expected utility maximization
• Bankruptcy and expected utility maximization
• Optimal arbitrage under model uncertainty
• Optimal reinsurance with a rescuing procedure
• On hitting times for jump-diffusion processes with past dependent local characteristics
• Evolutionary portfolio selection with liquidity shocks

This page was built for publication: Minimizing or Maximizing the Expected Time to Reach Zero

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q4721949)