Stochastic Control in Discrete and Continuous Time

DOI10.1007/978-0-387-76617-1MaRDI QIDQ3499237zbMATH OpenOpenAlexFDO

Authors Atle Seierstad

Publication date 29 May 2008

Full work available at URL https://doi.org/10.1007/978-0-387-76617-1

zbMATH Keywords

stochastic controlcontrolled diffusionscontrolled Markov chainsconditions for optimalitycontrol of piecewise deterministic processes

Mathematics Subject Classification ID

Special processes (60K99) Optimal stochastic control (93E20) Research exposition (monographs, survey articles) pertaining to systems and control theory (93-02)

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Cited in

(27)

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• Stabilizing composite control for a class of linear systems modeled by singularly perturbed Itô differential equations
• Continuous-Time Casino Problems
• Entry and exit decisions with linear costs under uncertainty
• On time-inconsistent stochastic control in continuous time
• Stochastic time-optimal control problems
• Optimal control of diffusions with hard terminal state restrictions
• Neural‐network‐based control for discrete‐time nonlinear systems with denial‐of‐service attack: The adaptive event‐triggered case
• The valuation of GMWB variable annuities under alternative fund distributions and policyholder behaviours
• Stochastic control and mathematical modeling. Applications in economics.
• Controlled Markov processes and viscosity solutions
• Relative optimization of continuous-time and continuous-state stochastic systems
• Two-armed restless bandits with imperfect information: stochastic control and indexability
• A stochastic minimum principle and an adaptive pathwise algorithm for stochastic optimal control
• Dynamic potential games: the discrete-time stochastic case
• Stochastic optimal control -- a concise introduction
• Robust quadratic stabilizability and \(H_{\infty}\) control of uncertain linear discrete-time stochastic systems with state delay
• A solution to weighted sums of squares as a square
• Maximum principle for stochastic control in continuous time with hard end constraints
• scientific article; zbMATH DE number 3974875 (Why is no real title available?)
• scientific article; zbMATH DE number 5190527 (Why is no real title available?)
• Optimal oil-owner behavior in piecewise deterministic models
• A consumption-investment problem with heterogeneous discounting

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