Optimal control without solving the Bellman equation

DOI10.1016/0165-1889(93)90049-XMaRDI QIDQ2366876zbMATH OpenFDO

Authors Gregory C. Chow

Publication date 23 August 1993

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

zbMATH Keywords

Bellman partial differential equationvector Lagrange multiplier

Mathematics Subject Classification ID

Dynamic programming in optimal control and differential games (49L20) Optimal stochastic control (93E20)

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Cites work

• scientific article; zbMATH DE number 3126094 (Why is no real title available?)
• scientific article; zbMATH DE number 4060924 (Why is no real title available?)
• scientific article; zbMATH DE number 43867 (Why is no real title available?)
• scientific article; zbMATH DE number 3492382 (Why is no real title available?)
• On the Differentiability of the Value Function in Dynamic Models of Economics

Cited in

(14)

• An efficient algorithm for stochastic optimal control problems by means of a least-squares Monte-Carlo method
• Chow's method of optimal control
• Chow's method of optimal control: A numerical solution
• Optimal bunching without optimal control
• On the adaptation of the Lagrange formalism to continuous time stochastic optimal control: a Lagrange-Chow redux
• Multiperiod competition with switching costs
• Generalized maximum entropy estimation of dynamic programming models with sample selection bias
• On the Bellman's principle of optimality
• Financial planning via multi-stage stochastic optimization.
• Strategic financial risk management and operations research
• Asymptotic method of solution of statistical problems of optimal control by quasiharmonic systems
• The Lagrange method of optimization with applications to portfolio and investment decisions
• scientific article; zbMATH DE number 5049458 (Why is no real title available?)
• Model of the producer's behavior in the presence of random moments of obtaining a loan and investment

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