Using fuel to control a process to a goal

DOI10.1080/17442509108833681zbMATH Open0722.93081OpenAlexW2039066160MaRDI QIDQ3211230FDOQ3211230

Ananda Weerasinghe, William D. Sudderth

Publication date: 1991

Published in: Stochastics and Stochastic Reports (Search for Journal in Brave)

Full work available at URL: http://hdl.handle.net/11299/199554

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• A Finite Fuel Stochastic Control Problem on a Finite Time Horizon
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• Finite Fuel Problem in Nonlinear Singular Stochastic Control

zbMATH Keywords

gamblingbold playnonanticipative controlstimid play

Mathematics Subject Classification ID

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

Cites Work

• Diffusion processes with boundary conditions
• Equivalent models for finite-fuel stochastic control
• Some solvable stochastic control problemst^†
• Title not available (Why is that?)
• Continuous-Time Red and Black: How to Control a Diffusion to a Goal
• Reaching Zero Rapidly
• Minimizing or Maximizing the Expected Time to Reach Zero
• Continuous-Time Casino Problems
• Continuous-time gambling problems

Cited In (4)

• A Finite Fuel Stochastic Control Problem on a Finite Time Horizon
• Singular optimal strategies for investment with transaction costs
• Finite fuel Wiener-Poisson control
• Optimal singular control strategies for controlling a process to a goal.

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