Stochastic optimal control theory and its computational methods

DOI10.1080/00207728008966998MaRDI QIDQ3862665zbMATH OpenOpenAlexFDO

Authors D. W. Reid, I. E. Boyd, Kok Lay Teo

Publication date 1980

Published in International Journal of Systems Science. Principles and Applications of Systems and Integration (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/00207728008966998

zbMATH Keywords

computer algorithmdiffusion process

Mathematics Subject Classification ID

Existence of optimal solutions to problems involving randomness (49J55) Optimal stochastic control (93E20)

Cited in

(6)

• Optimal control for uncertain stochastic dynamic systems with jump and application to an advertising model
• Optimal insurance in a changing economy
• Optimal investment-reinsurance with dynamic risk constraint and regime switching
• Hitting a target with maximum probability
• First-order strong variation algorithm for optimal control problems involving parabolic systems
• Optimal portfolios with regime switching and value-at-risk constraint

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