A Stochastic Optimal Control Technique for Models with Estimated Coefficients

DOI10.2307/1912689MaRDI QIDQ4198423zbMATH OpenOpenAlexFDO

Authors Roger Craine, Arthur Havenner

Publication date 1977

Published in Econometrica (Search for Journal in Brave)

Full work available at URL https://doi.org/10.2307/1912689

zbMATH Keywords

estimated coefficientsoptimal linear- quadratic control problemstochastic optimal control

Mathematics Subject Classification ID

Optimality conditions for problems involving randomness (49K45) Applications of statistics to economics (62P20) Linear systems in control theory (93C05) Control/observation systems governed by functional relations other than differential equations (such as hybrid and switching systems) (93C30) Optimal stochastic control (93E20)

Cited in

(2)

• Dual adaptive control and uncertainty effects in macroeconomic systems optimization
• On the existence of moments of partially restricted reduced form coefficients

This page was built for publication: A Stochastic Optimal Control Technique for Models with Estimated Coefficients

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q4198423)