Reduction of a Class of Stochastic Control Problems

DOI10.1093/imamat/6.2.131zbMath0211.46202OpenAlexW2015204351MaRDI QIDQ5612824

P. A. Gait, Peter Whittle

Publication date: 1970

Published in: IMA Journal of Applied Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1093/imamat/6.2.131

Mathematics Subject Classification ID

Stochastic systems in control theory (general) (93E03) Control/observation systems governed by ordinary differential equations (93C15) Dynamical systems and ergodic theory (37-XX)

Related Items (5)

Optimal control of an Ornstein-Uhlenbeck process ⋮ Linear quadratic Gaussian homing for Markov processes with regime switching and applications to controlled population growth/decay ⋮ A different class of homing problems ⋮ Using a geometric Brownian motion to control a Brownian motion and vice versa ⋮ First‐passage densities of controlled Gaussian processes

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