Analytic Solutions for Infinite Horizon Stochastic Optimal Control Problems via Finite Horizon Approximation : A Practical Guide

We show how infinite horizon stochastic optimal control problems can be solved via studying their finite horizon approximations. This often leads to analytical solutions for the infinite horizon problem, even when the complexity of the finite horizon approximation is to large, as in order to allow analytical solutions in the finite horizon case

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Year of publication:	[2009]
Authors:	Ewald, Christian-Oliver
Other Persons:	Wang, Wen-Kai (contributor)
Publisher:	[2009]: [S.l.] : SSRN

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Extent:	1 Online-Ressource (13 p)
Type of publication:	Book / Working Paper
Notes:	Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments April 7, 2009 erstellt
Other identifiers:	10.2139/ssrn.1374216 [DOI]
Classification:	C63 - Computational Techniques ; G11 - Portfolio Choice ; G31 - Capital Budgeting; Investment Policy ; G39 - Corporate Finance and Governance. Other
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10012718157