An optimal control problem with a random stopping time

DOI10.1007/BF00939419zbMATH Open0681.93070OpenAlexW2001943330MaRDI QIDQ1823913FDOQ1823913

Authors: Philippe Michel, E. K. Boukas, Alain Haurie 

Publication date: 1990

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

Full work available at URL: https://doi.org/10.1007/bf00939419

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zbMATH Keywords

dynamic programmingstochastic optimal controlinfinite-horizon optimal control problemminimum principle techniques

Mathematics Subject Classification ID

Dynamic programming in optimal control and differential games (49L20) Optimal stochastic control (93E20)

Cites Work

• Optimal control of piecewise deterministic markov process
• On the Transversality Condition in Infinite Horizon Optimal Problems
• Necessary Conditions for Optimal Control Problems with Infinite Horizons
• Dynamic Programming and Minimum Principles for Systems with Jump Markov Disturbances
• Sufficient Conditions for Optimality and the Justification of the Dynamic Programming Method
• Existence theorems for Lagrange control problems with unbounded time domain
• Control of systems with jump Markov disturbances
• On the Admissible Synthesis in Optimal Control Theory and Differential Games

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• A stochastic control model of economic growth with environmental disaster prevention
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