Additive Control of Stochastic Linear Systems with Finite Horizon

DOI10.1137/0323051MaRDI QIDQ3715009zbMATH OpenOpenAlexFDO

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

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 solvability of a two-sided singular control problem
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• Irreversible capital accumulation under interest rate uncertainty
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• 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
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• Game of Singular Stochastic Control and Strategic Exit
• Optimal Investment and Consumption With Two Bonds and Transaction Costs¹
• 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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• Generalized solution in singular stochastic control: The nondegenerate problem
• A Class of Stochastic Games and Moving Free Boundary Problems
• Existence of singular optimal control laws for stochastic differential equations

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