scientific article; zbMATH DE number 3849114

MaRDI QIDQ3318666zbMATH OpenFDO

Authors Ioannis Karatzas

Publication date 1982

zbMATH Keywords

cost functionfinite-horizonsingular control

Mathematics Subject Classification ID

Existence of optimal solutions to problems involving randomness (49J55) Stationary stochastic processes (60G10) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Brownian motion (60J65) Orbital mechanics (70M20) Optimal stochastic control (93E20)

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• Generalized solution in singular stochastic control: The nondegenerate problem
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• Avoiding the origin: A finite-fuel stochastic control problem
• Singular control of the drift of a Brownian system
• On a class of singular stochastic control problems driven by Lévy noise
• A constrained non-linear regular-singular stochastic control problem, with applications.
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• Equivalent models for finite-fuel stochastic control
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• On a Class of Path-Dependent Singular Stochastic Control Problems
• Optimal tracking of brownian motion
• Singular Optimal Stochastic Controls I: Existence
• Singular Perturbations in Stochastic Ergodic Control Problems
• Analysis of Hamilton-Jacobi-Bellman equations arising in stochastic singular control
• Optimal and suboptimal control of a standard Brownian motion
• A Singular Stochastic Control Problem with Interconnected Dynamics
• Singular ergodic control for multidimensional Gaussian–Poisson processes
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• Long-term average cost control problems for continuous time Markov processes: A survey
• Uniqueness results for boundary value problems arising from finite fuel and other singular and unbounded stochastic control problems
• A singular control problem with an expected and a pathwise ergodic performance criterion

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