Limited risk control of the ornstein-uhleeck process

DOI10.1080/02331938008842694zbMath0521.93067OpenAlexW2093969581MaRDI QIDQ3671869

Kurt Helmes, Norbert Christopeit

Publication date: 1980

Published in: Mathematische Operationsforschung und Statistik. Series Optimization (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/02331938008842694

zbMATH Keywords

maximum principlemarketing problemsone-dimensional controlled process

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Economic growth models (91B62) Optimal stochastic control (93E20) Optimality conditions for problems involving randomness (49K45)

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