Analytic solutions for infinite horizon stochastic optimal control problems via finite horizon approximation: a practical guide

DOI10.1016/J.MATHSOCSCI.2011.03.001MaRDI QIDQ545158zbMATH OpenOpenAlexFDO

Authors Christian-Oliver Ewald, Wen-Kai Wang

Publication date 22 June 2011

Published in Mathematical Social Sciences (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.mathsocsci.2011.03.001

zbMATH Keywords

dynamic programmingHamilton-Jacobi-Bellman equationstochastic optimal controlcomputational economics

Mathematics Subject Classification ID

Dynamic programming in optimal control and differential games (49L20) Application models in control theory (93C95) Optimal stochastic control (93E20)

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Cites work

• scientific article; zbMATH DE number 1325009 (Why is no real title available?)
• scientific article; zbMATH DE number 1734466 (Why is no real title available?)
• scientific article; zbMATH DE number 2107841 (Why is no real title available?)
• A stochastic differential Fishery game for a two species fish population with ecological interaction
• Controlled Markov processes and viscosity solutions
• Dynamic nonpoint-source pollution control policy: ambient transfers and uncertainty
• Dynamic voluntary provision of public goods with uncertainty: a stochastic differential game model
• Stochastic differential equations. An introduction with applications.
• Stochastic differential game model of a common property fishery

Cited in

(2)

• Optimal control of inequality under uncertainty
• Solving infinite horizon optimization problems through analysis of a one-dimensional global optimization problem

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