| Article ID | Journal | Published Year | Pages | File Type |
|---|---|---|---|---|
| 972072 | Mathematical Social Sciences | 2011 | 6 Pages |
Abstract
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.
Related Topics
Physical Sciences and Engineering
Mathematics
Applied Mathematics
Authors
Christian-Oliver Ewald, Wen-Kai Wang,