On one-dimensional stochastic control problems: applications to investment models

The paper provides a systematic way for finding a partial differential equation that characterize directly the optimal control, in the framework of one?dimensional stochastic control problems of Mayer, with no constraints on the controls. The results obtained are applied to some significative models in financial economics.

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Year of publication:	2008-11
Authors:	Josa-Fombellida, Ricardo ; Rincón-Zapatero, Juan Pablo
Institutions:	Departamento de Economía, Universidad Carlos III de Madrid
Subject:	Dynamic programming \| Stochastic control \| Quasilinear parabolic equation \| Investment problems

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Extent:	application/pdf
Series:	Economics Working Papers.
Type of publication:	Book / Working Paper
Language:	English
Classification:	C61 - Optimization Techniques; Programming Models; Dynamic Analysis
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10008486978