It is shown that the optimal buying and selling policies are the local times of the two-dimensional process of bank and stock holdings at the boundaries of a wedge-shaped region which is determined by the solution of a nonlinear free boundary problem.Expand

In this paper necessary and sufficient conditions for optimality are derived for systems described by stochastic differential equations with control based on partial observations. The solution of the… Expand

A numerical technique for computing optimal impulse controls for P.D.P.s. under general conditions is presented and it is shown that iteration of the single-jump-or-intervention operator generates a sequence of functions converging to the value function of the problem.Expand

This paper concerns the nonlinear filtering problem of calculating recursively estimates E[f(xt)ys,0≤s≤t] where xt is a Markov process and yt is a real-valued “observation process” given by
$$dy_t… Expand

This paper deals with approximation techniques for the optimal stopping of a piecewise-deterministic Markov process, and builds ε-optimal stopping times for the original problem using the payoff function of the discretized process.Expand

The predictive least squares criterion for order estimation is combined with an adaptive control strategy minimizing a quadratic cost and applied to multidimensional ARX systems. It is then shown… Expand

In this paper, it is clearly shown how one can apply the PDP optimal control theory to the optimal consumption and exploration of non‐renewable resources under uncertain exploration.Expand