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Analytic solutions for infinite horizon stochastic optimal control problems via finite horizon approximation: A practical guide

  • Ewald, Christian-Oliver
  • Wang, Wen-Kai

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 by studying phase diagrams, even in cases where the complexity of the finite horizon case does not permit analytic solutions. Our approach can be applied to many problems in dynamic economics.

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Article provided by Elsevier in its journal Mathematical Social Sciences.

Volume (Year): 61 (2011)
Issue (Month): 3 (May)
Pages: 146-151

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Handle: RePEc:eee:matsoc:v:61:y:2011:i:3:p:146-151
Contact details of provider: Web page: http://www.elsevier.com/locate/inca/505565

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  1. repec:cup:cbooks:9780521637329 is not listed on IDEAS
  2. 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, vol. 33(2), pages 97-116, November.
  3. repec:cup:cbooks:9780521834063 is not listed on IDEAS
  4. Fershtman, Chaim & Nitzan, Shmuel, 1991. "Dynamic voluntary provision of public goods," European Economic Review, Elsevier, vol. 35(5), pages 1057-1067, July.
  5. 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.
  6. Athanassoglou, Stergios, 2010. "Dynamic nonpoint-source pollution control policy: Ambient transfers and uncertainty," Journal of Economic Dynamics and Control, Elsevier, vol. 34(12), pages 2494-2509, December.
  7. Athanassoglou, Stergios, 2009. "The Effect of Uncertainty on Pollution Control Policy," MPRA Paper 16898, University Library of Munich, Germany.
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