The Inverse Optimal Problem: A Dynamic Programming Approach

DOI10.2307/1911845zbMath0646.90014OpenAlexW2094882900MaRDI QIDQ3790903

Fwu-Ranq Chang

Publication date: 1988

Published in: Econometrica (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.2307/1911845

zbMATH Keywords

stochastic differential equationWiener processstochastic optimal growthIto's lemmastochastic descriptive growth equationstochastic inverse optimization problem

Mathematics Subject Classification ID

Applications of mathematical programming (90C90) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Dynamic programming (90C39) Economic growth models (91B62) Optimal stochastic control (93E20) Ordinary differential equations and systems with randomness (34F05)

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On characterizing equilibria of economies with externalities and taxes as solutions to optimization problems ⋮ Structural estimation of jump-diffusion processes in macroeconomics ⋮ Estimating dynamic equilibrium models using mixed frequency macro and financial data ⋮ The inverse problem of asset price under non-expected utility ⋮ Optimal fiscal policy, public capital, and the productivity slowdown ⋮ On the link between volatility and growth ⋮ A dynamic principal-agent problem as a feedback Stackelberg differential game ⋮ Projection method for infinite-horizon economic growth problems ⋮ An inverse optimal problem in discrete-time stochastic control ⋮ Numerical solution of dynamic equilibrium models under Poisson uncertainty ⋮ Mean field games for stochastic growth with relative utility ⋮ Markov-perfect equilibria in intergenerational games with consistent preferences ⋮ Euler-Lagrange equations of stochastic differential games: application to a game of a productive asset

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