The Optimal Policy for a Controlled Brownian Motion Process

DOI10.1137/0132009MaRDI QIDQ4134661zbMATH OpenOpenAlexFDO

Authors John H. Rath

Publication date 1977

Published in SIAM Journal on Applied Mathematics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1137/0132009

Mathematics Subject Classification ID

Brownian motion (60J65) Optimal stochastic control (93E20)

Cited in

(12)

• On Benes' bang-bang control problem
• Solving the drift control problem
• Some solvable stochastic control problemst^†
• International reserve management: a drift-switching reflected jump-diffusion model
• Optimal drift rate control and impulse control for a stochastic inventory/production system
• Average cost Brownian drift control with proportional changeover costs
• On optimal correction problems with partial information
• The economic average cost Brownian control problem
• A Method for Computing Double Band Policies for Switching between Two Diffusions
• A Double Band Control Policy of a Brownian Perishable Inventory System
• On optimal control of a Brownian motion
• On the optimality of stepwise policies for managing capacity, inventory and backorders

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