Stochastic intertemporal duality: an application to investment under uncertainty

DOI10.1016/J.JEDC.2005.05.013zbMath1200.91282OpenAlexW2079150487MaRDI QIDQ956562

Frank C. Krysiak

Publication date: 25 November 2008

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

Full work available at URL: https://doi.org/10.1016/j.jedc.2005.05.013

zbMATH Keywords

uncertaintyexpectationsinvestmentintertemporal duality

Mathematics Subject Classification ID

Optimal stochastic control (93E20) Corporate finance (dividends, real options, etc.) (91G50) Portfolio theory (91G10)

Cites Work

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• How to do comparative dynamics on the back of an envelope in optimal control theory
• The comparative dynamics of closed-loop controls for discounted infinite horizon optimal control problems
• Fundamental symmetries and qualitative properties in the adjustment cost model of the firm
• Atemporal, Temporal and Intertemporal Duality in Consumer Theory
• Intertemporal Duality: Application to the Theory of the Firm
• Duality Theory and Functional Forms for Dynamic Factor Demands
• Comparative Dynamics via Envelope Methods in Variational Calculus
• The Rational Multivariate Flexible Accelerator

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