Limited risk control of the ornstein-uhleeck process

DOI10.1080/02331938008842694MaRDI QIDQ3671869zbMATHOpenAlexFDO

Authors Norbert Christopeit, K. Helmes

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) Optimality conditions for problems involving randomness (49K45) Economic growth models (91B62) Optimal stochastic control (93E20)

Cited in

(1)

• On the existence of optimal solutions in a stochastic control model

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