Probabilistic aspects of finite-fuel, reflected follower problems

DOI10.1007/BF00140120zbMath0654.93078MaRDI QIDQ1108998

Ioannis Karatzas, Nicole El Karoui

Publication date: 1988

Published in: Acta Applicandae Mathematicae (Search for Journal in Brave)

zbMATH Keywords

dynamic programming equation; optimal stopping problems; finite-fuel constraint; reflected follower problem

Mathematics Subject Classification ID

49L20: Dynamic programming in optimal control and differential games

93E20: Optimal stochastic control

60G40: Stopping times; optimal stopping problems; gambling theory

60G57: Random measures

49J55: Existence of optimal solutions to problems involving randomness

Related Items

Existence of singular optimal control laws for stochastic differential equations, Necessary conditions for optimal singular stochastic control problems, Solving singular control from optimal switching, Mixed control problem under partial observation, Connections between optimal stopping and singular stochastic control

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