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

DOI10.1070/RM2003V058N04ABEH000644zbMATH Open1060.93108MaRDI QIDQ4829630FDOQ4829630

Authors: Boris D. Gnedenko 

Publication date: 29 November 2004

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

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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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