Controlled stochastic differential equations under Poisson uncertainty and with unbounded utility

DOI10.1016/j.jedc.2006.04.004zbMath1201.93132OpenAlexW2086468938MaRDI QIDQ1017026

Ken Sennewald

Publication date: 18 May 2009

Published in: Journal of Economic Dynamics \& Control (Search for Journal in Brave)

Full work available at URL: http://hdl.handle.net/10419/22720

zbMATH Keywords

stochastic differential equationBellman equationPoisson processes

Mathematics Subject Classification ID

Optimal stochastic control (93E20) Optimality conditions for problems involving randomness (49K45)

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