On a PDE Arising in One-Dimensional Stochastic Control Problems

Ricardo Josa-Fombellida () and Juan Pablo Rincón-Zapatero
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Ricardo Josa-Fombellida: Universidad de Valladolid

Journal of Optimization Theory and Applications, 2010, vol. 147, issue 1, No 1, 26 pages

Abstract: Abstract The paper provides a systematic way for finding a partial differential equation that directly characterizes the optimal control, in the framework of one-dimensional stochastic control problems of Mayer type, with no constraints on the controls. The results obtained are applied to continuous-time portfolio problems.

Keywords: Dynamic programming; Stochastic control; Quasilinear parabolic equation; Investment problems (search for similar items in EconPapers)
Date: 2010
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DOI: 10.1007/s10957-010-9712-3

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