scientific article; zbMATH DE number 4006130

MaRDI QIDQ3757801zbMATH OpenFDO

Authors Kunhui Liu

Publication date 1986

zbMATH Keywords

diffusion processstopping timesrandom jumpsoptimal cost functionoptimal impulse controlRichard's model

Mathematics Subject Classification ID

Diffusion processes (60J60) Existence of optimal solutions to problems involving randomness (49J55) Optimality conditions for problems involving randomness (49K45) Stopping times; optimal stopping problems; gambling theory (60G40) Optimal stochastic control (93E20)

Recommendations

• Existence and structure of solutions of optimal control problems
• On the existence of optimal solutions in a stochastic control model
• The Riccati Equation for Optimal Control Problems with Mixed State-Control Constraints: Necessity and Sufficiency
• On the riccati difference equation of optimal control
• Existence of an optimal control for stochastic control systems with nonlinear cost functional
• Some optimal control problems associated with Richardson's arms race model
• A Fixed-Point Characterization of the Optimal Costate in Finite-Horizon Optimal Control Problems
• The existence of optimal controls
• scientific article; zbMATH DE number 3437927
• On the solution of the Riccati differential equation arising from the LQ optimal control problem

Cited in

(5)

• Average expected cost of nonsymmetric Richard model
• A new class of impulse stochastic control models with non-negative control quantity
• Boundedness of a derived function of a solution of a class of diffusion variational equations
• The generalization of a class of impulse stochastic control models of a geometric Brownian motion
• Exact solutions to the homing problem for a Wiener process with jumps

This page was built for publication:

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q3757801)