Optimal control in wide-sense stationary continuous-time stochastic models

DOI10.1016/S0165-1889(87)80016-7zbMATH Open0644.90013MaRDI QIDQ1102848FDOQ1102848

Authors: A. R. Bergstrom 

Publication date: 1987

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

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zbMATH Keywords

Brownian motionstochastic differential equationscontinuous-timelinear quadratic optimal controlcontinuous-time stochastic modeldynamic certainty equivalenceinfinite- horizon quadratic cost functionoptimal linear feedback equationrandom measure theorywide-sense stationarity

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Economic growth models (91B62) Optimal stochastic control (93E20)

Cites Work

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Cited In (7)

• Stationary stochastic control for Itô processes
• Optimal forecasting of discrete stock and flow data generated by a higher order continuous time system
• Montary and fiscal policy in a second-order continuous time macroeconometric model of the United Kingdom
• Discrete time representation of stationary and non-stationary continuous time systems
• ECONOMETRIC THEORY MEMORIAL TO ALBERT REX BERGSTROM–INTRODUCTION
• REX BERGSTROM’S CONTRIBUTIONS TO CONTINUOUS TIME MACROECONOMETRIC MODELING
• Monetary and fiscal policy in a second-order continuous time macroeconometric model of the United Kingdom

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