Optimal Control of a Brownian Motion

DOI10.1137/0134061MaRDI QIDQ4186188zbMATH OpenOpenAlexFDO

Authors Herman Chernoff, A. John Petkau

Publication date 1978

Published in SIAM Journal on Applied Mathematics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1137/0134061

zbMATH Keywords

Brownian MotionComputational MethodsCost of SwitchingHolding CostOptimal ControlStochastic Control

Mathematics Subject Classification ID

Diffusion processes (60J60) Queueing theory (aspects of probability theory) (60K25) Optimal stochastic control (93E20)

Cited in

(12)

• On Benes' bang-bang control problem
• Optimal correction problem of a multidimensional stochastic system
• Solving the drift control problem
• International reserve management: a drift-switching reflected jump-diffusion model
• Optimal drift rate control and impulse control for a stochastic inventory/production system
• Average cost Brownian drift control with proportional changeover costs
• On optimal correction problems with partial information
• The economic average cost Brownian control problem
• A Method for Computing Double Band Policies for Switching between Two Diffusions
• On optimal control of a Brownian motion
• Optimal interventions of infectious disease
• On the optimality of stepwise policies for managing capacity, inventory and backorders

This page was built for publication: Optimal Control of a Brownian Motion

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q4186188)