Additive Control of Stochastic Linear Systems with Finite Horizon

DOI10.1137/0323051zbMATH Open0587.93068OpenAlexW2178119297MaRDI QIDQ3715009FDOQ3715009

Authors: Pao-Liu Chow, José-Luis Menaldi, M. Robin 

Publication date: 1985

Published in: SIAM Journal on Control and Optimization (Search for Journal in Brave)

Full work available at URL: https://digitalcommons.wayne.edu/mathfrp/29

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zbMATH Keywords

value functionlinear stochastic differential equationadditive control

Mathematics Subject Classification ID

Dynamic programming (90C39) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Degenerate parabolic equations (35K65) Free boundary problems for PDEs (35R35) Variational inequalities (49J40) Dynamic programming in optimal control and differential games (49L20) Linear systems in control theory (93C05) Optimal stochastic control (93E20)

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• On the relationship between the stochastic maximum principle and dynamic programming in singular stochastic control
• Optimal correction problem of a multidimensional stochastic system
• The relaxed stochastic maximum principle in singular optimal control of jump diffusions
• Non-convex Hamilton-Jacobi equations with gradient constraints
• Multidimensional singular control and related Skorokhod problem: sufficient conditions for the characterization of optimal controls
• Singular control with state constraints on unbounded domain
• A free boundary problem related to singular stochastic control: the parabolic case
• Irreversible capital accumulation under interest rate uncertainty
• A singular stochastic control problem with direction switching cost
• Optimal control and differential games with measures
• Regular finite fuel stochastic control problems with exit time
• The relationship between the stochastic maximum principle and the dynamic programming in singular control of jump diffusions
• A maximal inequality for stochastic convolution integrals on hilbert spaces and space-time regularity of linear stochastic partial differential equations
• Characterization of the optimal policy for a multidimensional parabolic singular stochastic control problem
• Convex duality for finite-fuel problems in singular stochastic control
• Optimality necessary conditions in singular stochastic control problems with nonsmooth data
• Optimal Investment and Consumption With Two Bonds and Transaction Costs¹
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• Necessary conditions for optimal singular stochastic control problems
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• On the value function of weakly coercive problems in nonlinear stochastic control
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• A Class of Stochastic Games and Moving Free Boundary Problems
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• Generalized solution in singular stochastic control: The nondegenerate problem
• Existence of singular optimal control laws for stochastic differential equations
• Singular control problems in bounded intervals

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