Analytic solutions for infinite horizon stochastic optimal control problems via finite horizon approximation: a practical guide

DOI10.1016/j.mathsocsci.2011.03.001zbMath1215.93149OpenAlexW3125013396MaRDI QIDQ545158

Wen-Kai Wang, Christian-Oliver Ewald

Publication date: 22 June 2011

Published in: Mathematical Social Sciences (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.mathsocsci.2011.03.001

zbMATH Keywords

Hamilton-Jacobi-Bellman equationdynamic programmingstochastic optimal controlcomputational economics

Mathematics Subject Classification ID

Dynamic programming in optimal control and differential games (49L20) Application models in control theory (93C95) Optimal stochastic control (93E20)

Related Items (1)

Optimal control of inequality under uncertainty

Cites Work

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• Dynamic voluntary provision of public goods with uncertainty: a stochastic differential game model
• Dynamic nonpoint-source pollution control policy: ambient transfers and uncertainty
• A stochastic differential Fishery game for a two species fish population with ecological interaction
• Controlled Markov processes and viscosity solutions
• Stochastic differential game model of a common property fishery
• Stochastic differential equations. An introduction with applications.

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