Nonstationary control problems for diffusion processes on an infinite time interval

MaRDI QIDQ1922643zbMATH OpenFDO

Authors Nikolai Dokuchaev

Publication date 10 December 1996

Published in Vestnik St. Petersburg University. Mathematics (Search for Journal in Brave)

zbMATH Keywords

optimal control problemsstochastic differential equationsstochastic Ito equation

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Optimal stochastic control (93E20)

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Cited in

(7)

• Stochastic control problems with functionals depending on local time
• Pathwise optimality in stochastic control
• Nonstationary discrete-time deterministic and stochastic control systems with infinite horizon
• Infinite horizon nonstationary stochastic optimal control problem: A planning horizon result
• On the Euler equation approach to discrete-time nonstationary optimal control problems
• A control problem with fuel constraint and Dawson-Watanabe superprocesses
• Problems of stationarity and control with a nonlocal cost per unit time

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