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Journals and Conferences
We give a variational inequality sufficient condition for optimal stopping problems. This result is illustrated by computing solutions to an optimal stock selling problem. The stock selling problem… (More)
Linear quadratic adaptive stochastic problems are important in Engineering and have a long history. Some very early papers on adapt ive control are [71 where they are called dual control … (More)
For a simple model of a stock, whose stock price is a geometric Brownian motion in which the drift rate changes back and forth between positive and negative values, optimal selling times are… (More)
A variational approach is taken to derive optimality conditions for a discrete time linear quadratic adaptive stochastic optimal control problem. These conditions lead to an algorithm for computing… (More)
cesses’ i n w h i c h t h e r e i s a spec ia l s t ruc tu re . Fo r t hese p r o b l e m s t h e s t a t e o f t h e s y s t e m may vary between jumps o f the observed process bu t a t each… (More)
The group preventive maintenance problem is used to illustrate problems of computing with the optimality conditions for continuous time contolled jump processes. It is claimed that considerations for… (More)
It is shown that a certain dual control problem can be reduced in two different ways to two standard completely observed stochastic control problems.
A herding pursuit evasion problem is studied where the agent pursuer is considered the control action for moving the agent evader to a fixed location using the dynamics of their interaction, such… (More)
A very simple derivation of optimality conditions for completely observable controlled jump processes is given.