New approach to stochastic optimal control and applications to economics

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dc.contributor.author Josa-Fombellida, Ricardo
dc.contributor.author Rincón-Zapatero, Juan Pablo
dc.contributor.editor Universidad Carlos III de Madrid. Departamento de Economía
dc.date.accessioned 2007-07-10T07:47:06Z
dc.date.available 2007-07-10T07:47:06Z
dc.date.issued 2005-05
dc.identifier.issn 2340-5031
dc.identifier.uri http://hdl.handle.net/10016/856
dc.description.abstract This paper provides new insights into the solution of optimal stochastic control problems by means of a system of partial differential equations, which characterize directly the optimal control. This new system is obtained by the application of the stochastic maximum principle at every initial condition, assuming that the optimal controls are smooth enough. The type of problems considered are those where the diffusion coefficient is independent of the control variables, which are supposed to be interior to the control region. The results obtained are applied to the study of the classical consumption–savings model.
dc.format.extent 297117 bytes
dc.format.mimetype application/pdf
dc.language.iso eng
dc.relation.ispartofseries UC3M Working papers. Economics
dc.relation.ispartofseries 05-19
dc.rights Atribución-NoComercial-SinDerivadas 3.0 España
dc.rights.uri http://creativecommons.org/licenses/by-nc-nd/3.0/es/
dc.subject.other Optimal stochastic control
dc.subject.other Itô’s formula
dc.subject.other Hamilton–Jacobi–Bellman equation
dc.subject.other Semilinear parabolic equation
dc.subject.other Consumption–savings model
dc.title New approach to stochastic optimal control and applications to economics
dc.type workingPaper
dc.subject.jel C61
dc.subject.jel D91
dc.subject.eciencia Economía
dc.rights.accessRights openAccess
dc.type.version submitedVersion
dc.identifier.repec we053219
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