Analytic solutions for infinite horizon stochastic optimal control problems via finite horizon approximation: A practical guide
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References listed on IDEAS
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Cited by:
- Forster, Martin & La Torre, Davide & Lambert, Peter J., 2014.
"Optimal control of inequality under uncertainty,"
Mathematical Social Sciences, Elsevier, vol. 68(C), pages 53-59.
- Martin Forster & Davide La Torre & Peter Lambert, 2012. "Optimal control of inequality under uncertainty," Discussion Papers 12/07, Department of Economics, University of York.
- Wen-Kai Wang & Christian-Oliver Ewald, 2010. "Dynamic voluntary provision of public goods with uncertainty: a stochastic differential game model," Decisions in Economics and Finance, Springer;Associazione per la Matematica, vol. 33(2), pages 97-116, November.
- Wang, Wen-Kai & Ewald, Christian-Oliver, 2010. "A stochastic differential Fishery game for a two species fish population with ecological interaction," Journal of Economic Dynamics and Control, Elsevier, vol. 34(5), pages 844-857, May.
- Thomas H. Jørgensen & Maxime Tô, 2020. "Robust Estimation of Finite Horizon Dynamic Economic Models," Computational Economics, Springer;Society for Computational Economics, vol. 55(2), pages 499-509, February.
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Keywords
Dynamic programming Stochastic optimal control Hamilton-Jacobi-Bellman equation Computational economics;Statistics
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