Stochastic intertemporal duality: an application to investment under uncertainty
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Publication:956562
DOI10.1016/J.JEDC.2005.05.013zbMATH Open1200.91282OpenAlexW2079150487MaRDI QIDQ956562FDOQ956562
Authors: Frank C. Krysiak 
Publication date: 25 November 2008
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.2005.05.013
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Portfolio theory (91G10) Corporate finance (dividends, real options, etc.) (91G50) Optimal stochastic control (93E20)
Cites Work
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- Atemporal, Temporal and Intertemporal Duality in Consumer Theory
- Intertemporal Duality: Application to the Theory of the Firm
- The Rational Multivariate Flexible Accelerator
- How to do comparative dynamics on the back of an envelope in optimal control theory
- Comparative Dynamics via Envelope Methods in Variational Calculus
- Duality Theory and Functional Forms for Dynamic Factor Demands
- Fundamental symmetries and qualitative properties in the adjustment cost model of the firm
- The comparative dynamics of closed-loop controls for discounted infinite horizon optimal control problems
Cited In (4)
- Investment timing in presence of downside risk: a certainty equivalent characterization
- Robust Retirement with Return Ambiguity: Optimal \(\boldsymbol{G}\)-Stopping Time in Dual Space
- Duality and optimality conditions in stochastic optimization and mathematical finance
- Duality and liquidity constraints under uncertainty
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