Using fuel to control a process to a goal

DOI10.1080/17442509108833681MaRDI QIDQ3211230zbMATH OpenOpenAlexFDO

Authors William D. Sudderth, Ananda Weerasinghe

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

zbMATH Keywords

gamblingbold playnonanticipative controlstimid play

Mathematics Subject Classification ID

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

Recommendations

• A Finite Fuel Stochastic Control Problem on a Finite Time Horizon
• Avoiding the origin: A finite-fuel stochastic control problem
• Equivalent models for finite-fuel stochastic control
• A bang-bang strategy for a finite fuel stochastic control problem
• Finite Fuel Problem in Nonlinear Singular Stochastic Control

Cites work

• scientific article; zbMATH DE number 3837095 (Why is no real title available?)
• Continuous-Time Casino Problems
• Continuous-Time Red and Black: How to Control a Diffusion to a Goal
• Continuous-time gambling problems
• Diffusion processes with boundary conditions
• Equivalent models for finite-fuel stochastic control
• Minimizing or Maximizing the Expected Time to Reach Zero
• Reaching Zero Rapidly
• Some solvable stochastic control problemst^†

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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