On one-dimensional stochastic control problemsapplications to investmet models

  1. Josa Fombellida, Ricardo
  2. Rincón Zapatero, Juan Pablo
Revista:
Documentos de trabajo. Economic series ( Universidad Carlos III. Departamento de Economía )

Año de publicación: 2008

Número: 66

Tipo: Documento de Trabajo

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Resumen

The paper provides a systematic way for finding a partial differential equation that characterize directly the optimal control, in the framework of one dimensional stochastic control problems of Mayer, with no constraints on the controls. The results obtained are applied to some significative models in financial economics.

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