Optimal singular control strategies for controlling a process to a goal.

DOI10.1016/S0304-4149(99)00028-9zbMATH Open1056.93071OpenAlexW2085247744MaRDI QIDQ1613635FDOQ1613635

Authors Douglas W. McBeth, Ananda Weerasinghe

Publication date 29 August 2002

Published in Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/s0304-4149(99)00028-9

zbMATH Keywords

diffusion processlocal timestochastic optimal control

Mathematics Subject Classification ID

Diffusion processes (60J60) Stopping times; optimal stopping problems; gambling theory (60G40) Optimal stochastic control (93E20)

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Cites work

• scientific article; zbMATH DE number 158461 (Why is no real title available?)
• scientific article; zbMATH DE number 3505708 (Why is no real title available?)
• A bang-bang strategy for a finite fuel stochastic control problem
• Continuous-Time Casino Problems
• Continuous-Time Red and Black: How to Control a Diffusion to a Goal
• Optimal investment and consumption with transaction costs
• Singular optimal strategies for investment with transaction costs
• Using fuel to control a process to a goal

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• Singular optimal strategies for investment with transaction costs

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