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http://hdl.handle.net/10016/5569
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| Title: | New approach to stochastic optimal control |
| Author(s): | Josa-Fombellida, Ricardo
Rincón-Zapatero, Juan Pablo [jrincon] |
| Publisher: | Springer |
| Issued date: | 2007 |
| Citation: | Journal of Optimization Theory and Applications. 2007, vol. 135, nº 1, p. 163-177 |
| URI: | http://hdl.handle.net/10016/5569 |
| ISSN: | 0022-3239 |
| DOI: | 10.1007/s10957-007-9262-5 |
| Description: | The original publication is available at www.springerlink.com |
| Abstract: | This 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. |
| Sponsor: | Two 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 |
| Review: | PeerReviewed |
| Publisher version: | http://dx.doi.org/10.1007/s10957-007-9262-5 |
| Keywords: | Optimal stochastic control
Itòs formula
Halminton-Jacobi-Bellman equation
Semilinear equation |
| Rights: | © Springer |
| Appears in Collections: | Economists Online
DE - Artículos de Revistas
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