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On a PDE arising in one-dimensional stochastic control problems

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dc.affiliation.dptoUC3M. Departamento de Economíaes
dc.contributor.authorJosa-Fombellida, Ricardo
dc.contributor.authorRincón-Zapatero, Juan Pablo
dc.date.accessioned2012-10-05T16:21:55Z
dc.date.available2012-10-05T16:21:55Z
dc.date.issued2010-10
dc.descriptionThe original publication is available at www.springerlink.com
dc.description.abstractThe paper provides a systematic way for finding a partial differential equation that directly characterizes the optimal control, in the framework of onedimensional stochastic control problems of Mayer type, with no constraints on the controls. The results obtained are applied to continuous-time portfolio problems.
dc.description.sponsorshipWe wish to thank an Associate Editor and two referees for helpful comments Both authors gratefully acknowledge financial support from the Spanish Ministerio de Ciencia e Innovación under project ECO2008-02358 The first author is also supported by Consejería de Educación de la Junta de Castilla y León (Spain) under project VA056A09
dc.description.statusPublicado
dc.format.mimetypeapplication/pdf
dc.identifier.bibliographicCitationJournal of optimization theory and applications, vol. 147, n. 1, p. 1-26, oct. 2010
dc.identifier.doi10.1007/s10957-010-9712-3
dc.identifier.issn0022-3239
dc.identifier.publicationfirstpage1
dc.identifier.publicationissue1
dc.identifier.publicationlastpage26
dc.identifier.publicationtitleJournal of optimization theory and applications
dc.identifier.publicationvolume147
dc.identifier.urihttps://hdl.handle.net/10016/15577
dc.language.isoeng
dc.publisherSpringer
dc.relation.publisherversionhttp://dx.doi.org/10.1007/s10957-010-9712-3
dc.rights© Springer
dc.rights.accessRightsopen access
dc.subject.ecienciaEconomía
dc.subject.otherDynamic programming
dc.subject.otherStochastic control
dc.subject.otherQuasilinear parabolic equation
dc.subject.otherInvestment problems
dc.titleOn a PDE arising in one-dimensional stochastic control problems
dc.typeresearch article*
dc.type.hasVersionAM*
dspace.entity.typePublication
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