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On a PDE arising in one-dimensional stochastic control problems

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URI: https://hdl.handle.net/10016/15577
ISSN: 0022-3239
DOI: 10.1007/s10957-010-9712-3
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pde_rincon-zapatero_JOTA_2010_ps.pdf (868.32 KB)
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2010-10
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Springer
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Abstract
The 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.
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The original publication is available at www.springerlink.com
Keywords
Dynamic programming, Stochastic control, Quasilinear parabolic equation, Investment problems
Bibliographic citation
Journal of optimization theory and applications, vol. 147, n. 1, p. 1-26, oct. 2010
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