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

DOI10.1016/S0165-1889(87)80016-7zbMath0644.90013MaRDI QIDQ1102848

A. R. Bergstrom

Publication date: 1987

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

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)

Related Items (6)

Montary and fiscal policy in a second-order continuous time macroeconometric model of the United Kingdom ⋮ ECONOMETRIC THEORY MEMORIAL TO ALBERT REX BERGSTROM–INTRODUCTION ⋮ REX BERGSTROM’S CONTRIBUTIONS TO CONTINUOUS TIME MACROECONOMETRIC MODELING ⋮ Optimal forecasting of discrete stock and flow data generated by a higher order continuous time system ⋮ Monetary 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

Cites Work

• Notes on economic time series analysis: system theoretic perspectives
• A disequilibrium model of real and financial accumulation in an open economy. Theory, evidence, and policy simulations
• Dynamic Programming Under Uncertainty with a Quadratic Criterion Function
• A Note on Certainty Equivalence in Dynamic Planning
• Gaussian Estimation of Structural Parameters in Higher Order Continuous Time Dynamic Models
• On the Nature of the Spectrum of Singular Second Order Linear Differential Equations
• On stochastic differential equations
• On a stochastic integral equation
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