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

作者：Ewald Christian Oliver^*; Wang Wen Kai

来源：Mathematical Social Sciences, 2011, 61(3): 146-151.

DOI：10.1016/j.mathsocsci.2011.03.001

• Dynamic programming
• Stochastic optimal control
• Hamilton-Jacobi-Bellman equation
• Computational economics

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.

• 出版日期2011-5