Equivalent models for finite-fuel stochastic control
- 1 September 1986
- journal article
- research article
- Published by Taylor & Francis in Stochastics
- Vol. 18 (3-4) , 245-276
- https://doi.org/10.1080/17442508608833410
Abstract
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.Keywords
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