Publication: On one-dimensional stochastic control problems: applications to investment models
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2008-11
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Abstract
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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Keywords
Dynamic programming, Stochastic control, Quasilinear parabolic equation, Investment problems