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Duality Theory for Some Stochastic Control Models

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  • Stanley R. Pliska

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  • Stanley R. Pliska, 1982. "Duality Theory for Some Stochastic Control Models," Discussion Papers 530, Northwestern University, Center for Mathematical Studies in Economics and Management Science.
    • Handle: RePEc:nwu:cmsems:530
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    File URL: http://www.kellogg.northwestern.edu/research/math/papers/530.pdf
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    References listed on IDEAS

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    1. William A. Brock & Leonard J. Mirman, 2001. "Optimal Economic Growth And Uncertainty: The Discounted Case," Chapters, in: W. D. Dechert (ed.), Growth Theory, Nonlinear Dynamics and Economic Modelling, chapter 1, pages 3-37, Edward Elgar Publishing.
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    Cited by:

    1. Sudhakar D. Deshmukh & Stanley R. Pliskaf, 1983. "A Martingale Characterization of the Price of a Nonrenewable Resource with Decisions Involving Uncertainty," Discussion Papers 565, Northwestern University, Center for Mathematical Studies in Economics and Management Science.
    2. Leonid Kogan & Indrajit Mitra, 2021. "Near-Rational Equilibria in Heterogeneous-Agent Models: A Verification Method," FRB Atlanta Working Paper 2021-16, Federal Reserve Bank of Atlanta.
    3. Indrajit Mitra & Leonid Kogan, 2014. "Accuracy Verification for Numerical Solutions of Equilibrium Models," 2014 Meeting Papers 423, Society for Economic Dynamics.

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