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On one-dimensional stochastic control problems: applications to investment models
Autor(es):
Josa-Fombellida, Ricardo; Rincón-Zapatero, Juan Pablo
Editor:
Universidad Carlos III de Madrid. Departamento de Economía
Fecha de edición:
2008-11
ISSN:
2340-5031
Serie/Num.:
UC3M Working papers. Economics
08-30
08-30
Palabras clave:
Dynamic programming
,
Stochastic control
,
Quasilinear parabolic equation
,
Investment problems
Clasificación JEL:
C61
Derechos:
Atribución-NoComercial-SinDerivadas 3.0 España
Resumen:
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 obtaine
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