Deterministic and stochastic control problems with identical optimal cost functions

Analysis and Optimization of Systems - Lecture Notes in Control and Information Sciences ◽

10.1007/bfb0042251 ◽

2006 ◽

pp. 641-645

Author(s):

S. Sethi ◽

M. I. Taksar

Keyword(s):

Stochastic Control ◽

Cost Functions ◽

Control Problems ◽

Stochastic Control Problems ◽

Optimal Cost

Download Full-text

Decoupling Non-Sequential Stochastic Control Problems

1991 American Control Conference ◽

10.23919/acc.1991.4791883 ◽

1991 ◽

Cited By ~ 4

Author(s):

Mark S. Andersland

Keyword(s):

Stochastic Control ◽

Control Problems ◽

Stochastic Control Problems

Download Full-text

On the maximum principle for stochastic control problems

Probability Theory and Applications ◽

10.1515/9783112314227-105 ◽

1987 ◽

pp. 777-782

Keyword(s):

Maximum Principle ◽

Stochastic Control ◽

Control Problems ◽

Stochastic Control Problems ◽

The Maximum Principle

Download Full-text

The Relation Between Generalized and Singular Stochastic Control Problems 1

IFAC Proceedings Volumes ◽

10.1016/s1474-6670(17)35329-6 ◽

2001 ◽

Vol 34 (6) ◽

pp. 1095-1099

Author(s):

Dufour Francois ◽

Miller Boris

Keyword(s):

Stochastic Control ◽

Control Problems ◽

Singular Stochastic Control ◽

Stochastic Control Problems

Download Full-text

Solvability Conditions for Indefinite Linear Quadratic Optimal Stochastic Control Problems and Associated Stochastic Riccati Equations

SIAM Journal on Control and Optimization ◽

10.1137/140956051 ◽

2015 ◽

Vol 53 (6) ◽

pp. 3673-3689 ◽

Cited By ~ 10

Author(s):

Kai Du

Keyword(s):

Stochastic Control ◽

Riccati Equations ◽

Optimal Stochastic Control ◽

Control Problems ◽

Linear Quadratic ◽

Solvability Conditions ◽

Stochastic Control Problems

Download Full-text

A Numerical Method for Solving Singular Stochastic Control Problems

Operations Research ◽

10.1287/opre.1030.0107 ◽

2004 ◽

Vol 52 (4) ◽

pp. 563-582 ◽

Cited By ~ 33

Author(s):

Sunil Kumar ◽

Kumar Muthuraman

Keyword(s):

Numerical Method ◽

Stochastic Control ◽

Control Problems ◽

Singular Stochastic Control ◽

Stochastic Control Problems

Download Full-text

Individual and mass behavior in large population forward–backward stochastic control problems: Centralized and Nash equilibrium solutions

Optimal Control Applications and Methods ◽

10.1002/oca.2727 ◽

2021 ◽

Author(s):

Shujun Wang ◽

Hua Xiao

Keyword(s):

Nash Equilibrium ◽

Stochastic Control ◽

Large Population ◽

Control Problems ◽

Equilibrium Solutions ◽

Stochastic Control Problems ◽

Mass Behavior ◽

Nash Equilibrium Solutions

Download Full-text

On the Principle of Smooth Fit for a Class of Singular Stochastic Control Problems for Diffusions

SIAM Journal on Control and Optimization ◽

10.1137/0330053 ◽

1992 ◽

Vol 30 (4) ◽

pp. 975-999 ◽

Cited By ~ 26

Author(s):

Jin Ma

Keyword(s):

Stochastic Control ◽

Control Problems ◽

Singular Stochastic Control ◽

Stochastic Control Problems

Download Full-text

A Pair of Explicitly Solvable Singular Stochastic Control Problems

Applied Mathematics & Optimization ◽

10.1007/s002459900094 ◽

1998 ◽

Vol 38 (3) ◽

pp. 327-352 ◽

Cited By ~ 16

Author(s):

M. H. A. Davis

Keyword(s):

Stochastic Control ◽

Control Problems ◽

Singular Stochastic Control ◽

Stochastic Control Problems

Download Full-text

A linear programming relaxation for stochastic control problems with non-classical information patterns

2015 54th IEEE Conference on Decision and Control (CDC) ◽

10.1109/cdc.2015.7403121 ◽

2015 ◽

Cited By ~ 4

Author(s):

Sharu Theresa Jose ◽

Ankur A. Kulkarni

Keyword(s):

Linear Programming ◽

Stochastic Control ◽

Linear Programming Relaxation ◽

Control Problems ◽

Stochastic Control Problems ◽

Classical Information ◽

Information Patterns

Download Full-text

Addendum to "A sparse Markov chain approximation of LQ-type stochastic control problems"

Mathematical Control & Related Fields ◽

10.3934/mcrf.2017023 ◽

2017 ◽

Vol 7 (4) ◽

pp. 623-623

Author(s):

Ralf Banisch ◽

◽

Carsten Hartmann ◽

Keyword(s):

Markov Chain ◽

Stochastic Control ◽

Control Problems ◽

Stochastic Control Problems ◽

Markov Chain Approximation ◽

Chain Approximation

Download Full-text