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Equivalent models for finite-fuel stochastic control

 

作者: Ioannis Karatzas,   Steven E. Shreve,  

 

期刊: Stochastics  （Taylor Available online 1986）
卷期: Volume 18, issue 3-4  

页码: 245-276

 

ISSN:0090-9491

 

年代: 1986

 

DOI:10.1080/17442508608833410

 

出版商: Gordon and Breach Science Publishers, Inc

 

关键词: Finite-fuel stochastic control;optimal stopping;singular control;local time;Gittins index

 

数据来源: Taylor

 

摘要:

A stochastic control problem with finite-fuel constraint, of the type studied by Beneš, Shepp and Witsenhausen (1980), is solved explicitly. It is shown to be reducible to “simpler” stochastic optimization problems, such as optimal stopping and singular control for Brownian motion with unlimited fuel.

 

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