Stationary stochastic control for Itô processes

DOI10.1239/AAP/1019160953zbMATH Open1020.93028OpenAlexW2162178877MaRDI QIDQ4547101FDOQ4547101

Authors: Ananda Weerasinghe 

Publication date: 30 September 2003

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

Full work available at URL: https://doi.org/10.1239/aap/1019160953

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zbMATH Keywords

stochastic optimal controlreflecting diffusion process

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stopping times; optimal stopping problems; gambling theory (60G40) Financial applications of other theories (91G80) Optimal stochastic control (93E20)

Cited In (8)

• A singular control model with application to the goodwill problem
• A singular control problem with an expected and a pathwise ergodic performance criterion
• Optimal buffer size for a stochastic processing network in heavy traffic
• Reflecting Ito Processes in a Stochastic Control Problem
• Technical Note—On the Optimality of Reflection Control
• On an ergodic two-sided singular control problem
• Data-driven rules for multidimensional reflection problems
• Optimal sustainable harvesting of populations in random environments

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