Analytic solutions for infinite horizon stochastic optimal control problems via finite horizon approximation: a practical guide
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Publication:545158
DOI10.1016/j.mathsocsci.2011.03.001zbMath1215.93149MaRDI QIDQ545158
Wen-Kai Wang, Christian-Oliver Ewald
Publication date: 22 June 2011
Published in: Mathematical Social Sciences (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.mathsocsci.2011.03.001
Hamilton-Jacobi-Bellman equation; dynamic programming; stochastic optimal control; computational economics
49L20: Dynamic programming in optimal control and differential games
93C95: Application models in control theory
93E20: Optimal stochastic control
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