An escape time interpretation of robust control

DOI10.1016/J.JEDC.2014.02.014zbMATH Open1402.93262OpenAlexW2073702936MaRDI QIDQ1994522FDOQ1994522

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

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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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Cited In (1)

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

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