On the adaptation of the Lagrange formalism to continuous time stochastic optimal control: a Lagrange-Chow redux

DOI10.1016/j.jedc.2024.104855MaRDI QIDQ6572635

Christian-Oliver Ewald, Charles Nolan

Publication date: 16 July 2024

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

zbMATH Keywords

optimal controldynamic programmingstochastic processesLagrange formalismcontinuous optimizationeconomic growth modelsregression-based Monte Carlo methods

Mathematics Subject Classification ID

Game theory, economics, finance, and other social and behavioral sciences (91-XX)

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