On a PDE arising in one-dimensional stochastic control problems

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dc.contributor.author Josa-Fombellida, Ricardo
dc.contributor.author Rincón-Zapatero, Juan Pablo
dc.date.accessioned 2012-10-05T16:21:55Z
dc.date.available 2012-10-05T16:21:55Z
dc.date.issued 2010-10
dc.identifier.bibliographicCitation Journal of optimization theory and applications, vol. 147, n. 1, p. 1-26, oct. 2010
dc.identifier.issn 0022-3239
dc.identifier.uri http://hdl.handle.net/10016/15577
dc.description The original publication is available at www.springerlink.com
dc.description.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.
dc.description.sponsorship We 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.format.mimetype application/pdf
dc.language.iso eng
dc.publisher Springer
dc.rights © Springer
dc.subject.other Dynamic programming
dc.subject.other Stochastic control
dc.subject.other Quasilinear parabolic equation
dc.subject.other Investment problems
dc.title On a PDE arising in one-dimensional stochastic control problems
dc.type article
dc.description.status Publicado
dc.relation.publisherversion http://dx.doi.org/10.1007/s10957-010-9712-3
dc.subject.eciencia Economía
dc.identifier.doi 10.1007/s10957-010-9712-3
dc.rights.accessRights openAccess
dc.type.version acceptedVersion
dc.identifier.publicationfirstpage 1
dc.identifier.publicationissue 1
dc.identifier.publicationlastpage 26
dc.identifier.publicationtitle Journal of optimization theory and applications
dc.identifier.publicationvolume 147
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