A stochastic control model of investment, production, and consumption on a finite horizon
DOI10.1002/mma.3129zbMath1346.49025OpenAlexW1984296333MaRDI QIDQ5246792
Publication date: 22 April 2015
Published in: Mathematical Methods in the Applied Sciences (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1002/mma.3129
Hamilton-Jacobi-Bellman equationstochastic controlLeray-Schauder fixed-point theoremdynamic programming principleoptimal investment policiesPDE technique
Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Dynamic programming in optimal control and differential games (49L20) Stochastic models in economics (91B70) Optimal stochastic control (93E20) Applications of stochastic analysis (to PDEs, etc.) (60H30) Stopping times; optimal stopping problems; gambling theory (60G40) Existence of optimal solutions to problems involving randomness (49J55)
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