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A finite fuei stochastic control problem

 

作者: S.D. Jacka,  

 

期刊: Stochastics  （Taylor Available online 1983）
卷期: Volume 10, issue 2  

页码: 103-113

 

ISSN:0090-9491

 

年代: 1983

 

DOI:10.1080/17442508308833266

 

出版商: Gordon and Breach Science Publishers Inc,

 

数据来源: Taylor

 

摘要:

We find the solution to the finite fuel problem of optimally controlling a diffusionso as to maximise EC(ρ) where ρ is the first time Xtgoes below zero.

 

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