A simplified treatment of the theory of optimal regulation of Brownian motion

DOI10.1016/0165-1889(91)90037-2zbMath0755.90009OpenAlexW2118373752MaRDI QIDQ1177284

Avinash Dixit

Publication date: 26 June 1992

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

Full work available at URL: https://doi.org/10.1016/0165-1889(91)90037-2

zbMATH Keywords

discrete approximationdiscrete Markov chainoptimal regulation of Brownian motion

Mathematics Subject Classification ID

Brownian motion (60J65) Economic growth models (91B62) Markov chains (discrete-time Markov processes on discrete state spaces) (60J10) Optimal stochastic control (93E20)

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Cites Work

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• Super contact and related optimality conditions
• Irreversible investment
• Instantaneous Control of Brownian Motion
• Impulse Control of Brownian Motion
• Asset Pricing and Optimal Portfolio Choice in the Presence of Illiquid Durable Consumption Goods
• Firing Costs and Labour Demand: How Bad is Eurosclerosis?
• Existence of Optimal Simple Policies for Discounted-Cost Inventory and Cash Management in Continuous Time
• Option pricing: A simplified approach
• Stochastic Process Switching: Some Simple Solutions

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