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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- Merton, Robert C., 1971.
"Optimum consumption and portfolio rules in a continuous-time model,"
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- Schied, Alexander & Schoeneborn, Torsten, 2008.
"Risk aversion and the dynamics of optimal liquidation strategies in illiquid markets,"
7105, University Library of Munich, Germany.
- Alexander Schied & Torsten Schöneborn, 2009. "Risk aversion and the dynamics of optimal liquidation strategies in illiquid markets," Finance and Stochastics, Springer, vol. 13(2), pages 181-204, April.
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