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New approach to stochastic optimal control

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dc.affiliation.dptoUC3M. Departamento de Economíaes
dc.contributor.authorJosa-Fombellida, Ricardo
dc.contributor.authorRincón-Zapatero, Juan Pablo
dc.date.accessioned2012-10-04T11:59:39Z
dc.date.available2012-10-04T11:59:39Z
dc.date.issued2007
dc.descriptionThe original publication is available at www.springerlink.com
dc.description.abstractThis paper provides new insights into the solution of optimal stochastic control problems by means of a system of partial differential equations, which characterize directly the optimal control. This new system is obtained by the application of the stochastic maximum principle at every initial condition, assuming that the optimal controls are smooth enough. The type of problems considered are those where the diffusion coefficient is independent of the control variables, which are supposed to be interior to the control region.
dc.description.sponsorshipTwo referees provided useful suggestions. Both authors gratefully acknowledge financial support from the regional Government of Castilla y León (Spain) under Project VA099/04, the Spanish Ministry of Education and Science and FEDER funds under Project MTM2005-06534
dc.description.statusPublicado
dc.format.mimetypeapplication/pdf
dc.format.mimetypetext/plain
dc.identifier.bibliographicCitationJournal of Optimization Theory and Applications. 2007, vol. 135, nº 1, p. 163-177
dc.identifier.doi10.1007/s10957-007-9262-5
dc.identifier.issn0022-3239
dc.identifier.publicationfirstpage163
dc.identifier.publicationissue1
dc.identifier.publicationlastpage177
dc.identifier.publicationtitleJournal of Optimization Theory and Applications
dc.identifier.publicationvolume135
dc.identifier.urihttps://hdl.handle.net/10016/5569
dc.language.isoeng
dc.publisherSpringer
dc.relation.publisherversionhttp://dx.doi.org/10.1007/s10957-007-9262-5
dc.rights© Springer
dc.rights.accessRightsopen access
dc.subject.ecienciaEconomía
dc.subject.otherOptimal stochastic control
dc.subject.otherItòs formula
dc.subject.otherHalminton-Jacobi-Bellman equation
dc.subject.otherSemilinear equation
dc.titleNew approach to stochastic optimal control
dc.typeresearch article*
dc.type.hasVersionAM*
dc.type.reviewPeerReviewed
dspace.entity.typePublication
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