A solvable stochastic control problem in hyperbolic three space

DOI10.1016/0167-6911(87)90083-1zbMath0624.93077OpenAlexW2065453422MaRDI QIDQ579213

Tyrone E. Duncan

Publication date: 1987

Published in: Systems \& Control Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0167-6911(87)90083-1

zbMATH Keywords

Hamilton-Jacobi equationdynamic programming equationstochastic optimal control problemhyperbolic three space

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Dynamic programming in optimal control and differential games (49L20) Smoothness and regularity of solutions to PDEs (35B65) Optimal stochastic control (93E20) Diffusion processes and stochastic analysis on manifolds (58J65)

Related Items (1)

Stochastic Control Problems and Spherical Functions on Symmetric Spaces

Cites Work

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• Optimum consumption and portfolio rules in a continuous-time model
• Optimal Control of Partially Observable Stochastic Systems with an Exponential-of-Integral Performance Index
• Some solvable stochastic control problemst^†
• Some Examples of Optimal Stochastic Controls OR: The Stochastic Maximum Principle at Work

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