Stochastic Optimal Control

Paulo Brito

Chapter Chapter 19 in Economic Dynamics and Distributions, 2026, pp 537-557 from Springer

Abstract: Abstract 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.

Date: 2026
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Persistent link: https://EconPapers.repec.org/RePEc:spr:dymchp:978-3-031-94717-9_19

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DOI: 10.1007/978-3-031-94717-9_19

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