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

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

Ananda Weerasinghe, Douglas W. McBeth

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

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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)

Cites Work

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• Optimal investment and consumption with transaction costs
• A bang-bang strategy for a finite fuel stochastic control problem
• Continuous-Time Red and Black: How to Control a Diffusion to a Goal
• Continuous-Time Casino Problems
• Singular optimal strategies for investment with transaction costs
• Using fuel to control a process to a goal

Cited In (1)

• Singular optimal strategies for investment with transaction costs

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