On one-dimensional stochastic control problems: applications to investment models

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On one-dimensional stochastic control problems: applications to investment models

Author(s): Josa-Fombellida, Ricardo; Rincón-Zapatero, Juan Pablo
Editor: Universidad Carlos III de Madrid. Departamento de Economía
Issued date: 2008-11
ISSN: 2340-5031
Serie/No.: UC3M Working papers. Economics
08-30
Keywords: Dynamic programming , Stochastic control , Quasilinear parabolic equation , Investment problems
JEL Classification: C61
URI: http://hdl.handle.net/10016/3236
Rights: Atribución-NoComercial-SinDerivadas 3.0 España
Atribución-NoComercial-SinDerivadas 3.0 España

Abstract:

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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