Analytic solutions for infinite horizon stochastic optimal control problems via finite horizon approximation: a practical guide
DOI10.1016/J.MATHSOCSCI.2011.03.001zbMATH Open1215.93149OpenAlexW3125013396MaRDI QIDQ545158FDOQ545158
Wen-Kai Wang, Christian-Oliver Ewald
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
Recommendations
- Existence and structure of solutions for an infinite horizon optimal control problem arising in economic dynamics
- Infinite Horizon Optimal Control Problems with Discount Factor on the State, Part II: Analysis of the Control Problem
- Infinite-horizon optimal control problems in economics
- Numerical solution of infinite-horizon optimal-control problems
- Optimal solutions to the infinite horizon problems: constructing the optimum as the limit of the solutions for the finite horizon problems
dynamic programmingHamilton-Jacobi-Bellman equationstochastic optimal controlcomputational economics
Dynamic programming in optimal control and differential games (49L20) Application models in control theory (93C95) Optimal stochastic control (93E20)
Cites Work
- Stochastic differential equations. An introduction with applications.
- Controlled Markov processes and viscosity solutions
- Title not available (Why is that?)
- Title not available (Why is that?)
- A stochastic differential Fishery game for a two species fish population with ecological interaction
- Dynamic voluntary provision of public goods with uncertainty: a stochastic differential game model
- Dynamic nonpoint-source pollution control policy: ambient transfers and uncertainty
- Title not available (Why is that?)
- Stochastic differential game model of a common property fishery
Cited In (1)
This page was built for publication: Analytic solutions for infinite horizon stochastic optimal control problems via finite horizon approximation: a practical guide
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q545158)
