A simplified treatment of the theory of optimal regulation of Brownian motion (Q1177284)
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| Language | Label | Description | Also known as |
|---|---|---|---|
| English | A simplified treatment of the theory of optimal regulation of Brownian motion |
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A simplified treatment of the theory of optimal regulation of Brownian motion (English)
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26 June 1992
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The paper is concerned with furnishing a simpler exposition of the problem of optimal regulation of Brownian motion through discrete approximation of the motion in the manner of Cox and Ross. This enables the authors to present the problem as one of discrete Markov chain and to derive and interpret the necessary conditions. Since use of Brownian motion has become increasingly popular in economics, I believe the exposition presented in the paper will be extremely helpful.
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optimal regulation of Brownian motion
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discrete approximation
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discrete Markov chain
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