Optimal investment models with vintage capital: dynamic programming approach
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Publication:990281
DOI10.1016/J.JMATECO.2010.02.006zbMATH Open1196.49022OpenAlexW2029196549MaRDI QIDQ990281FDOQ990281
Authors: Silvia Faggian, Fausto Gozzi 
Publication date: 6 September 2010
Published in: Journal of Mathematical Economics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.jmateco.2010.02.006
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dynamic programmingboundary controlHamilton-Jacobi-Bellman equationsoptimal controloptimal investmentvintage capitalage-structured systemslinear convex control
Portfolio theory (91G10) Dynamic programming in optimal control and differential games (49L20) Existence theories for problems in abstract spaces (49J27)
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Cited In (18)
- Practical exponential stability of stochastic age-dependent capital system with Lévy noise
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- Investment in a vintage capital model
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- Verification results for age-structured models of economic-epidemics dynamics
- Optimal control of path-dependent McKean-Vlasov SDEs in infinite-dimension
- ON THE DYNAMIC PROGRAMMING APPROACH FOR OPTIMAL CONTROL PROBLEMS OF PDE'S WITH AGE STRUCTURE
- Optimal advertising strategies with age-structured goodwill
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- Optimal time-consistent investment strategy for a DC pension plan with the return of premiums clauses and annuity contracts
- Solving optimal growth models with vintage capital: The dynamic programming approach
- Feasibility and optimality of the initial capital stock in the Ramsey vintage capital model
- Application of dynamic programming to economic problems with vintage capital
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