Tucci, Marco P.; Kendrick, David A.; Amman, Hans M. - Dipartimento di Economia Politica e Statistics, … - 2007
In this paper we derive, by using dynamic programming, the closed loop form of the Expected Optimal Feedback rule with time varying parameter. As such this paper extends the work of Kendrick (1981, 2002, Chapter 6) for the time varying parameter case. Furthermore, we show that the Beck and...