Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
9555842 | Journal of Economic Dynamics and Control | 2005 | 28 Pages |
Abstract
On the 30th anniversary of a meeting between engineers and economists at Princeton University to discuss the potential application of stochastic control methods to economics, this paper provides a review of past, present and paths ahead. The events surrounding some of the key developments of the past are described along with a discussion of the present state of the research and of paths for future research. The paper is structured around the primary methods for solving quadratic-linear economic stochastic control models, namely open loop, classical control, handcrafted feedback rules, optimal feedback, min-max control, optimal feedback rules with parameter uncertainty and dual control. The paper also includes a discussion of software developments in economic stochastic control modeling.
Keywords
Related Topics
Physical Sciences and Engineering
Mathematics
Control and Optimization
Authors
David A. Kendrick,