Optimal Control of a Brownian Motion
From MaRDI portal
Publication:4186188
DOI10.1137/0134061zbMath0401.93050OpenAlexW2005386575MaRDI QIDQ4186188
Herman Chernoff, A. John Petkau
Publication date: 1978
Published in: SIAM Journal on Applied Mathematics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1137/0134061
Queueing theory (aspects of probability theory) (60K25) Optimal stochastic control (93E20) Diffusion processes (60J60)
Related Items
On optimal control of a Brownian motion, Average Cost Brownian Drift Control with Proportional Changeover Costs, Optimal interventions of infectious disease, INTERNATIONAL RESERVE MANAGEMENT: A DRIFT‐SWITCHING REFLECTED JUMP‐DIFFUSION MODEL, Optimal Drift Rate Control and Impulse Control for a Stochastic Inventory/Production System, On optimal correction problems with partial information, The economic average cost Brownian control problem, Optimal correction problem of a multidimensional stochastic system, A Method for Computing Double Band Policies for Switching between Two Diffusions, On Benes' bang-bang control problem, Solving the drift control problem
