An inverse optimal problem in discrete-time stochastic control

DOI10.1080/10236198.2011.613596zbMATH Open1260.93175OpenAlexW2126102075MaRDI QIDQ4908669FDOQ4908669

Authors: David González-Sánchez, Onésimo Hernández-Lerma 

Publication date: 6 March 2013

Published in: Journal of Difference Equations and Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/10236198.2011.613596

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zbMATH Keywords

discrete-time optimal controlstochastic optimal controlinverse optimal problemdynamic welfare economicssystem of stochastic difference

Mathematics Subject Classification ID

Inverse problems in optimal control (49N45) Markov and semi-Markov decision processes (90C40) Stochastic models in economics (91B70) Discrete-time control/observation systems (93C55) Optimal stochastic control (93E20)

Cites Work

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• Tikhonov regularization applied to the inverse problem of option pricing: convergence analysis and rates
• On the indeterminacy of capital accumulation paths
• The Inverse Optimal Problem: A Dynamic Programming Approach
• Optimal control problems from second-order difference equations
• Consumption-portfolio policies: an inverse optimal problem
• The stochastic lake game: A numerical solution
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• How many cake-eaters? Chouette, on a du monde à dîner !
• Cake eating, exhaustible resource extraction, life-cycle saving, and non-atomic games: existence theorems for a class of optimal allocation problems
• Dynamic timing decisions under uncertainty. Essays on invention, innovation and exploration in resource economics

Cited In (7)

• Deterministic and Stochastic Optimal Control and Inverse Problems
• Potential difference games and applications
• Stochastic differential games: the potential approach
• Dynamic potential games: the discrete-time stochastic case
• Potential differential games
• Inverse stochastic optimal controls
• The Inverse Optimal Problem: A Dynamic Programming Approach

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