A mixed linear quadratic optimal control problem with a controlled time horizon

DOI10.1007/s00245-013-9233-1zbMath1297.49058arXiv1212.0594OpenAlexW2163620714MaRDI QIDQ741141

Jianhui Huang, Xun Li, Jiong-min Yong

Publication date: 10 September 2014

Published in: Applied Mathematics and Optimization (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1212.0594

zbMATH Keywords

maximum principleoptimal stoppingdiffusion processesmixed linear-quadratic optimal control problemstochastic Riccati equations

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Optimal stochastic control (93E20) Linear-quadratic optimal control problems (49N10) Stopping times; optimal stopping problems; gambling theory (60G40) Diffusion processes (60J60) Optimality conditions for problems involving randomness (49K45)

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