Asymmetric Wiener Control

DOI10.1080/02522667.1983.10698763zbMath0515.93073OpenAlexW2144986374MaRDI QIDQ3663148

Howard J. Weiner

Publication date: 1983

Published in: Journal of Information and Optimization Sciences (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/02522667.1983.10698763

zbMATH Keywords

Bellman equationsIto integralsasymmetric boundsintegral discounted quadratic cost functionWiener control

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Optimal stochastic control (93E20) Stochastic integrals (60H05) Optimality conditions for problems involving randomness (49K45)

Cites Work

• Optimal discounted linear control of the Wiener process
• Some solvable stochastic control problemst^†
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