On the smoothness of value functions and the existence of optimal strategies in diffusion models
From MaRDI portal
Publication:900609
DOI10.1016/J.JET.2015.03.015zbMATH Open1330.91137OpenAlexW2072026208MaRDI QIDQ900609FDOQ900609
Authors: Bruno Strulovici, Martin Szydlowski 
Publication date: 22 December 2015
Published in: Journal of Economic Theory (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.jet.2015.03.015
Recommendations
- Differentiability of the value function in continuous-time economic models
- Smoothness of the Policy Function in Discrete Time Economic Models
- Smoothness of the policy function in continuous-time economic models. The one-dimensional case
- On Lipschitz continuity of policy functions in continuous-time optimal growth models
- Smooth Fit Principle for Impulse Control of Multidimensional Diffusion Processes
Diffusion processes (60J60) Stopping times; optimal stopping problems; gambling theory (60G40) Economic dynamics (91B55) Optimal stochastic control (93E20)
Cites Work
- Optimum consumption and portfolio rules in a continuous-time model
- Elliptic partial differential equations of second order
- Continuous-time stochastic control and optimization with financial applications
- Choosing among alternative discrete investment projects under uncertainty
- Two-point boundary value problems. Lower and upper solutions
- Irreversible investment in alternative projects
- On the optimal stopping problem for one-dimensional diffusions.
- Optimal Consumption for General Diffusions with Absorbing and Reflecting Barriers
- Title not available (Why is that?)
- Viscosity Solutions of Hamilton-Jacobi Equations
- Title not available (Why is that?)
- Title not available (Why is that?)
- Title not available (Why is that?)
- Title not available (Why is that?)
- Title not available (Why is that?)
- Title not available (Why is that?)
- Title not available (Why is that?)
- Infinite dimensional analysis. A hitchhiker's guide.
- Envelope Theorems for Arbitrary Choice Sets
- Applied stochastic control of jump diffusions
- Comparing location experiments
- On the uniqueness of solutions of stochastic differential equations
- On Boundary Value Problems for Systems of Ordinary, Nonlinear, Second Order Differential Equations
- Comparative Statics, Informativeness, and the Interval Dominance Order
- On the Differentiability of the Value Function in Dynamic Models of Economics
- ON THE CLASSICAL SOLUTION OF NONLINEAR ELLIPTIC EQUATIONS OF SECOND ORDER
- Strategic Experimentation with Exponential Bandits
- Controlled diffusion processes
- Minimizing a Submodular Function on a Lattice
- Monotone Comparative Statics
- On the Uniqueness in Law and the Pathwise Uniqueness for Stochastic Differential Equations
- Title not available (Why is that?)
- Existence theorems for second order boundary value problems
- ON STRONG SOLUTIONS AND EXPLICIT FORMULAS FOR SOLUTIONS OF STOCHASTIC INTEGRAL EQUATIONS
- Optimal control of diffusion processes and hamilton–jacobi–bellman equations part 2 : viscosity solutions and uniqueness
- Differentiability of the value function without interiority assumptions
- On the pathwise uniqueness of solutions of one-dimensional stochastic differential equations
- Aggregating the single crossing property
- Composing Functions of Bounded Variation
- A Continuous-Time Version of the Principal–Agent Problem
- Selections of Bounded Variation
- Strategic Experimentation
- A General Chain Rule for Distributional Derivatives
- One Dimensional Stochastic Differential Equations with No Strong Solution
- Experimentation in Markets
- On Threshold Strategies and the Smooth-Fit Principle for Optimal Stopping Problems
- Title not available (Why is that?)
- Instantaneous Control of Brownian Motion
- The Optimal Level of Experimentation
- The Theory of Decision Procedures for Distributions with Monotone Likelihood Ratio
- On the existence of solutions of nonlinear elliptic boundary value problems
- A subfunction approach to a boundary value problem for ordinary differential equations
- Incentives, project choice, and dynamic multitasking
Cited In (23)
- Irreversible investment under predictable growth: why land stays vacant when housing demand is booming
- Perpetual American options with asset-dependent discounting
- Strategic real options
- Optimal learning before choice
- Analysis of optimal dynamic withdrawal policies in withdrawal guarantee products
- Smoothness of the policy function in continuous-time economic models. The one-dimensional case
- Smooth value functions for a class of nonsmooth utility maximization problems
- Optimal contract with moral hazard for public private partnerships
- Robust time-inconsistent stochastic control problems
- Parallel search for information in continuous time -- optimal stopping and geometry of the PDE
- Fomenting conflict
- Risk aversion with nothing to lose
- Near optimal tracking control of a class of non-linear systems and an experimental comparison
- A portfolio choice problem under risk capacity constraint
- Persistence in a dynamic moral hazard game
- Introduction to symposium on dynamic contracts and mechanism design
- Renegotiation and dynamic inconsistency: contracting with non-exponential discounting
- Consumer strategy, vendor strategy and equilibrium in duopoly markets with production costs
- Competitive real options under private information
- Learning about profitability and dynamic cash management
- Ambiguity in dynamic contracts
- A two-dimensional control problem arising from dynamic contracting theory
- Note on the (non-)smoothness of discrete time value functions in optimal stopping
This page was built for publication: On the smoothness of value functions and the existence of optimal strategies in diffusion models
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q900609)
