Asymmetric Wiener Control

DOI10.1080/02522667.1983.10698763MaRDI QIDQ3663148zbMATH OpenOpenAlexFDO

Authors 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) Optimality conditions for problems involving randomness (49K45) Stochastic integrals (60H05) Optimal stochastic control (93E20)

Cites work

• scientific article; zbMATH DE number 3460142 (Why is no real title available?)
• scientific article; zbMATH DE number 3233089 (Why is no real title available?)
• Optimal discounted linear control of the Wiener process
• Some solvable stochastic control problemst^†

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