RT Journal Article
T1 On a PDE arising in one-dimensional stochastic control problems
A1 Josa-Fombellida, Ricardo
A1 Rincón-Zapatero, Juan Pablo
AB The paper provides a systematic way for finding a partial differentialequation that directly characterizes the optimal control, in the framework of onedimensionalstochastic control problems of Mayer type, with no constraints on thecontrols. The results obtained are applied to continuous-time portfolio problems.
PB Springer
SN 0022-3239
YR 2010
FD 2010-10
LK https://hdl.handle.net/10016/15577
UL https://hdl.handle.net/10016/15577
LA eng
NO The original publication is available at www.springerlink.com
NO We wish to thank an Associate Editor and two referees for helpful comments Both authors gratefullyacknowledge financial support from the Spanish Ministerio de Ciencia e Innovación under projectECO2008-02358 The first author is also supported by Consejería de Educación de la Junta deCastilla y León (Spain) under project VA056A09
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RD 19 may. 2024