The problem of optimally controlling a standard Brownian motion until a fixed final time is considered in the case when the final cost function is an even function. Two particular problems are solved explicitly. Moreover, the best constant control as well as the best linear control are also obtained in these two particular cases
In this thesis, first we briefly outline the general theory surrounding optimal stopping problems wi...
This paper is concerned with optimal control of stochastic linear systems involving fractional Brown...
Peskir, (and also Meilijson and Obloj) considered the following optimal stopping problem: find, for ...
The problem of optimally controlling a standard Brownian motion until a fixed final time is consider...
International audienceThis paper examines the impulse control of a standard Brownian motion under a ...
Given a standard Brownian motion (Bt)t≥0 and the equation of motion dXt = vtdt+√ 2dBt, we set St =ma...
International audienceThis paper examines the impulse control of a standard Brownian motion under a ...
Abstract. Optimal stopping of stochastic processes having both absolutely continuous and singular be...
Let x(t) be a one-dimensional Brownian motion. The homing problem for a controlled x(t) process is s...
When a manufacturer places repeated orders with a supplier to meet changing production requirements,...
The present paper aims at studying stochastic singularly perturbed control systems. We begin by reca...
We partially solve the adaptive ergodic stochastic optimal control problem where the driving process...
AbstractConsider a storage system (such as an inventory or bank account) whose content fluctuates as...
AbstractWe consider a simple problem in the optimal control of Brownian Motion. There are two modes ...
AbstractLet x(t) be a one-dimensional Brownian motion. The homing problem for a controlled x(t) proc...
In this thesis, first we briefly outline the general theory surrounding optimal stopping problems wi...
This paper is concerned with optimal control of stochastic linear systems involving fractional Brown...
Peskir, (and also Meilijson and Obloj) considered the following optimal stopping problem: find, for ...
The problem of optimally controlling a standard Brownian motion until a fixed final time is consider...
International audienceThis paper examines the impulse control of a standard Brownian motion under a ...
Given a standard Brownian motion (Bt)t≥0 and the equation of motion dXt = vtdt+√ 2dBt, we set St =ma...
International audienceThis paper examines the impulse control of a standard Brownian motion under a ...
Abstract. Optimal stopping of stochastic processes having both absolutely continuous and singular be...
Let x(t) be a one-dimensional Brownian motion. The homing problem for a controlled x(t) process is s...
When a manufacturer places repeated orders with a supplier to meet changing production requirements,...
The present paper aims at studying stochastic singularly perturbed control systems. We begin by reca...
We partially solve the adaptive ergodic stochastic optimal control problem where the driving process...
AbstractConsider a storage system (such as an inventory or bank account) whose content fluctuates as...
AbstractWe consider a simple problem in the optimal control of Brownian Motion. There are two modes ...
AbstractLet x(t) be a one-dimensional Brownian motion. The homing problem for a controlled x(t) proc...
In this thesis, first we briefly outline the general theory surrounding optimal stopping problems wi...
This paper is concerned with optimal control of stochastic linear systems involving fractional Brown...
Peskir, (and also Meilijson and Obloj) considered the following optimal stopping problem: find, for ...
DOI
Add to ORKG