Wiener-Poisson control problems†

DOI10.1080/00207178308933102zbMath0517.93069OpenAlexW1968537489MaRDI QIDQ3666740

Howard J. Weiner

Publication date: 1983

Published in: International Journal of Control (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/00207178308933102

zbMATH Keywords

Bellman equationdiscounted non-quadratic cost functionmaximum principle for partial differential-difference equationsWiener- Poisson control process

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Maximum principles in context of PDEs (35B50) Optimal stochastic control (93E20) Partial functional-differential equations (35R10) Diffusion processes (60J60) Optimality conditions for problems involving randomness (49K45)

Related Items (1)

Minimizing or maximizing the first-passage time to a time-dependent boundary

Cites Work

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• Optimal discounted linear control of the Wiener process
• Some Examples of Optimal Stochastic Controls OR: The Stochastic Maximum Principle at Work

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