Composition and invariance methods for solving some stochastic control problems

DOI10.2307/1426079MaRDI QIDQ4101716zbMATH OpenOpenAlexFDO

Authors Václav E. Beneš

Publication date 1975

Published in Advances in Applied Probability (Search for Journal in Brave)

Full work available at URL https://doi.org/10.2307/1426079

Mathematics Subject Classification ID

Optimal stochastic control (93E20)

Cited in

(6)

• Optimal cash management under uncertainty
• On Benes' bang-bang control problem
• Existence of optimal controls for partially observed linear diffusions
• A leavable bounded-velocity stochastic control problem.
• Examples of optimal control for partially observable systems:comparison, classical, and martingale methods
• Optimal control for a class of partially observable systems^†

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