Analytic solutions for infinite horizon stochastic optimal control problems via finite horizon approximation: A practical guide

Christian-Oliver Ewald and Wen-Kai Wang

Mathematical Social Sciences, 2011, vol. 61, issue 3, 146-151

Abstract: We show how infinite horizon stochastic optimal control problems can be solved via studying their finite horizon approximations. This often leads to analytical solutions for the infinite horizon problem by studying phase diagrams, even in cases where the complexity of the finite horizon case does not permit analytic solutions. Our approach can be applied to many problems in dynamic economics.

Keywords: Dynamic; programming; Stochastic; optimal; control; Hamilton-Jacobi-Bellman; equation; Computational; economics (search for similar items in EconPapers)
Date: 2011
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Citations: View citations in EconPapers (4)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:matsoc:v:61:y:2011:i:3:p:146-151

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