Reduction of a Class of Stochastic Control Problems

DOI10.1093/IMAMAT/6.2.131MaRDI QIDQ5612824zbMATH OpenOpenAlexFDO

Authors 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

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

Cited in

(5)

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

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