On one-dimensional stochastic control problems: applications to investment models
AbstractThe 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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Bibliographic InfoPaper provided by Universidad Carlos III, Departamento de Economía in its series Economics Working Papers with number we086630.
Date of creation: Nov 2008
Date of revision:
Dynamic programming; Stochastic control; Quasilinear parabolic equation; Investment problems;
Find related papers by JEL classification:
- C61 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Optimization Techniques; Programming Models; Dynamic Analysis
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58, Massachusetts Institute of Technology (MIT), Department of Economics.
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