Optimal Control under a Dynamic Fuel Constraint

DOI10.1137/040616966MaRDI QIDQ3427531zbMATH OpenOpenAlexFDO

Authors Peter Bank

Publication date 20 March 2007

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

Full work available at URL https://doi.org/10.1137/040616966

zbMATH Keywords

dynamic fuel constraintmonotone followerSnell envelope

Mathematics Subject Classification ID

Existence of optimal solutions to problems involving randomness (49J55) Applications of stochastic analysis (to PDEs, etc.) (60H30) Portfolio theory (91G10) Optimal stochastic control (93E20)

Recommendations

• The optimal control of the cheap monotone follower
• Probabilistic aspects of finite-fuel stochastic control
• Finite Fuel Problem in Nonlinear Singular Stochastic Control
• Time/fuel optimal control of constrained linear discrete systems
• Regular finite fuel stochastic control problems with exit time

Cited in

(32)

• A problem of synthesis of optimal control in fuel consumption for linear second-order objects with control derivatives
• Irreversible investment in oligopoly
• On solvability of a two-sided singular control problem
• Continuous-time public good contribution under uncertainty: a stochastic control approach
• Irreversible capital accumulation with economic impact
• On an integral equation for the free-boundary of stochastic, irreversible investment problems
• Irreversible investment with fixed adjustment costs: a stochastic impulse control approach
• Irreversible reinsurance: a singular control approach
• Irreversible investment under Lévy uncertainty: an equation for the optimal boundary
• Existence, Characterization, and Approximation in the Generalized Monotone-Follower Problem
• A model for the long-term optimal capacity level of an investment project
• On the Optimal Management of Public Debt: a Singular Stochastic Control Problem
• Optimal dynamic procurement policies for a storable commodity with Lévy prices and convex holding costs
• scientific article; zbMATH DE number 3935839 (Why is no real title available?)
• On minimum-fuel control of affine nonlinear systems
• Expected supremum representation of the value of a singular stochastic control problem
• Optimal tracking of brownian motion
• On irreversible investment
• The optimal control of the cheap monotone follower
• On a class of infinite-dimensional singular stochastic control problems
• Nonzero-sum submodular monotone-follower games: existence and approximation of Nash equilibria
• Stochastic nonzero-sum games: a new connection between singular control and optimal stopping
• Optimal control with budget constraints and resets
• A nonconvex singular stochastic control problem and its related optimal stopping boundaries
• scientific article; zbMATH DE number 5213035 (Why is no real title available?)
• Multidimensional singular control and related Skorokhod problem: sufficient conditions for the characterization of optimal controls
• A mean-field version of Bank-El Karoui's representation of stochastic processes
• Irreversible consumption habit under ambiguity: singular control and optimal G-stopping time
• Linear-quadratic-singular stochastic differential games and applications
• Optimal ratcheting of dividends with irreversible reinsurance
• A stochastic partially reversible investment problem on a finite time-horizon: free-boundary analysis
• Solving singular control from optimal switching

This page was built for publication: Optimal Control under a Dynamic Fuel Constraint

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q3427531)