The stochastic maximization problem for linear functionals with a charge for the use of solutions

DOI10.1070/RM2003V058N04ABEH000644MaRDI QIDQ4829630zbMATH OpenFDO

Authors Boris D. Gnedenko

Publication date 29 November 2004

Published in Russian Mathematical Surveys (Search for Journal in Brave)

zbMATH Keywords

optimal controlswitchingbang-bang controlspredictable stochastic process

Mathematics Subject Classification ID

Continuous-time Markov processes on general state spaces (60J25) Optimal stochastic control (93E20)

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