This chapter presents an introduction to the solution of stochastic optimal control problems by using both the dynamic programming principle (the most usual) and the Pontriyagin maximum principle (absent from the economic literature). Both approaches are used to solve some benchmark economic models in both growth theory and finance, and are compared via a stochastic version of the envelope theorem.

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Stochastic Optimal Control

  • Paulo B. Brito

摘要

This chapter presents an introduction to the solution of stochastic optimal control problems by using both the dynamic programming principle (the most usual) and the Pontriyagin maximum principle (absent from the economic literature). Both approaches are used to solve some benchmark economic models in both growth theory and finance, and are compared via a stochastic version of the envelope theorem.