Optimal stationary linear control of the Wiener process

DOI10.1007/BF00934934MaRDI QIDQ1146157zbMATH OpenFDO

Authors Ioannis Karatzas, Václav E. Beneš

Publication date 1981

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

Full work available at URL https://doi.org/10.1007/BF00934934

zbMATH Keywords

Bellman equationdead zone controllersinvariant measuresnonanticipative lawsstationary stochastic control

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Linear systems in control theory (93C05) Optimal stochastic control (93E20)

Cites work

• A comparison theorem for solutions of stochastic differential equations and its applications
• A TRANSFORMATION OF THE PHASE SPACE OF A DIFFUSION PROCESS THAT REMOVES THE DRIFT
• Ergodic Properties of Recurrent Diffusion Processes and Stabilization of the Solution to the Cauchy Problem for Parabolic Equations
• scientific article; zbMATH DE number 3505708 (Why is no real title available?)
• scientific article; zbMATH DE number 3567644 (Why is no real title available?)
• scientific article; zbMATH DE number 3233089 (Why is no real title available?)
• scientific article; zbMATH DE number 3383329 (Why is no real title available?)
• Liapunov criteria for weak stochastic stability
• On Transforming a Certain Class of Stochastic Processes by Absolutely Continuous Substitution of Measures
• Optimal Stationary Control of a Linear System with State-Dependent Noise
• Optimality Conditions for the Average Cost per Unit Time Problem with a Diffusion Model

Cited in

(5)

• Dynamic sampling applied to problems in optimal control
• Stationary stochastic asymmetric control
• On a stochastic representation for the principal eigenvalue of a second-order differential equation
• A renewal theory approach to two-state switching problems with infinite values
• Drift rate control of a Brownian processing system

This page was built for publication: Optimal stationary linear control of the Wiener process

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q1146157)