The Inverse Optimal Problem: A Dynamic Programming Approach

DOI10.2307/1911845MaRDI QIDQ3790903zbMATH OpenOpenAlexFDO

Authors Fwu-Ranq Chang

Publication date 1988

Published in Econometrica (Search for Journal in Brave)

Full work available at URL https://doi.org/10.2307/1911845

zbMATH Keywords

Wiener processstochastic differential equationstochastic optimal growthIto's lemmastochastic descriptive growth equationstochastic inverse optimization problem

Mathematics Subject Classification ID

Applications of mathematical programming (90C90) Dynamic programming (90C39) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Ordinary differential equations and systems with randomness (34F05) Economic growth models (91B62) Optimal stochastic control (93E20)

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Cited in

(17)

• The inverse optimal value problem
• Numerical solution of dynamic equilibrium models under Poisson uncertainty
• Euler-Lagrange equations of stochastic differential games: application to a game of a productive asset
• On the link between volatility and growth
• Projection method for infinite-horizon economic growth problems
• Optimal fiscal policy, public capital, and the productivity slowdown
• On characterizing equilibria of economies with externalities and taxes as solutions to optimization problems
• Inverse problems of mathematical programming. Global optimization methods.
• scientific article; zbMATH DE number 1907232 (Why is no real title available?)
• An inverse optimal problem in discrete-time stochastic control
• A dynamic principal-agent problem as a feedback Stackelberg differential game
• The inverse problem of asset price under non-expected utility
• Structural estimation of jump-diffusion processes in macroeconomics
• Estimating dynamic equilibrium models using mixed frequency macro and financial data
• Markov-perfect equilibria in intergenerational games with consistent preferences
• Mean field games for stochastic growth with relative utility
• Rational noncooperative strategic exploitation of species in a predator-prey ecosystem with random disturbances

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