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On one-dimensional stochastic control problems: applications to investment models


  • Josa-Fombellida, Ricardo
  • Rincón-Zapatero, Juan Pablo


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.

Suggested Citation

  • Josa-Fombellida, Ricardo & Rincón-Zapatero, Juan Pablo, 2008. "On one-dimensional stochastic control problems: applications to investment models," UC3M Working papers. Economics we086630, Universidad Carlos III de Madrid. Departamento de Economía.
  • Handle: RePEc:cte:werepe:we086630

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    References listed on IDEAS

    1. 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.
    2. Merton, Robert C., 1971. "Optimum consumption and portfolio rules in a continuous-time model," Journal of Economic Theory, Elsevier, vol. 3(4), pages 373-413, December.
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    More about this item


    Dynamic programming;

    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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