Investment under uncertainty: calculating the value function when the Bellman equation cannot be solved analytically

DOI10.1016/S0165-1889(03)00110-6zbMath1200.91277WikidataQ59212034 ScholiaQ59212034MaRDI QIDQ953654

Thomas Dangl, Franz Wirl

Publication date: 6 November 2008

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

zbMATH Keywords

stochastic optimal controlprojection methodmaintenanceinvestment under uncertainty

Mathematics Subject Classification ID

Decision theory (91B06) Viscosity solutions to Hamilton-Jacobi equations in optimal control and differential games (49L25) Portfolio theory (91G10)

Related Items (8)

Finite project life and uncertainty effects on investment ⋮ Term structure of interest rates estimation using rational Chebyshev functions ⋮ Non-cooperative investment in partnerships and their termination ⋮ Using Chebyshev polynomials to approximate partial differential equations: a reply ⋮ Duesenberry Equilibrium and Heterogenous Agents ⋮ Using Chebyshev polynomials to approximate partial differential equations ⋮ State-Dependent Utility ⋮ Optimal maintenance and scrapping versus the value of back ups

Cites Work

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• Projection methods for solving aggregate growth models
• Algorithms and economic dynamics. Selected papers from the 2nd annual meeting of the Society for Computational Economics, Geneva, Switzerland, 1996
• Multinomial Approximating Models for Options with k State Variables
• Optimal Monopolist Pricing Under Demand Uncertainty in Dynamic Markets
• Option pricing: A simplified approach

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