A finite fuei stochastic control problem

DOI10.1080/17442508308833266zbMath0495.93068OpenAlexW2035897489MaRDI QIDQ3959864

S. D. Jacka

Publication date: 1983

Published in: Stochastics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/17442508308833266

zbMATH Keywords

finite fuel problemreflecting boundary stochastic differential equation

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Optimal stochastic control (93E20) Diffusion processes (60J60) Existence of optimal solutions to problems involving randomness (49J55)

Related Items (5)

Regular finite fuel stochastic control problems with exit time ⋮ Existence of singular optimal control laws for stochastic differential equations ⋮ A singular control model with application to the goodwill problem ⋮ Irreversible capital accumulation with economic impact ⋮ The solution to a second order linear ordinary differential equation with a non-homogeneous term that is a measure

Cites Work

• Unnamed Item
• Optimal control of a Brownian storage system
• Instantaneous Control of Brownian Motion
• Some solvable stochastic control problemst^†

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