An escape time interpretation of robust control

DOI10.1016/J.JEDC.2014.02.014MaRDI QIDQ1994522zbMATH OpenOpenAlexFDO

Authors Kenneth Kasa, In-Koo Cho

Publication date 1 November 2018

Published in Journal of Economic Dynamics and Control (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.jedc.2014.02.014

zbMATH Keywords

large deviationsrobust control

Mathematics Subject Classification ID

Macroeconomic theory (monetary models, models of taxation) (91B64) Optimal stochastic control (93E20)

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• Robustness
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• Stochastic exit time problems arising in process control
• The worst case for real options

Cited in

(1)

• A finite difference scheme for variational inequalities arising in stochastic control problems with several singular control variables

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