Optimal discounted linear control of the Wiener process

DOI10.1007/BF01262983MaRDI QIDQ755515zbMATH OpenOpenAlexFDO

Authors Ioannis Karatzas

Publication date 1980

Published in Journal of Optimization Theory and Applications (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/bf01262983

zbMATH Keywords

Bellman equationdead zone controllersdiscounted linear controldiscounted stochastic controlstochastic differential equationsWiener process

Mathematics Subject Classification ID

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

Cites work

• A TRANSFORMATION OF THE PHASE SPACE OF A DIFFUSION PROCESS THAT REMOVES THE DRIFT
• scientific article; zbMATH DE number 3233089 (Why is no real title available?)
• Optimal Discounted Stochastic Control for Diffusion Processes

Cited in

(8)

• Asymptotic Wiener-Poisson control
• Competition under industry-stock-driven prevailing market price: environmental consequences and the effect of uncertainty
• Time-dependent and independent control rules for coordinated production and pricing under demand uncertainty and finite planning horizons
• Finite fuel Wiener-Poisson control
• Asymmetric Wiener Control
• Wiener-Poisson control problems†
• Distributed Wiener-Poisson control †
• Optimal discounted control for a continuous time inventory model

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