Buletinul Academiei de Ştiinţe a Republicii Moldova. Matematica
RUS  ENG    JOURNALS   PEOPLE   ORGANISATIONS   CONFERENCES   SEMINARS   VIDEO LIBRARY   PACKAGE AMSBIB  
General information
Latest issue
Archive
Impact factor

Search papers
Search references

RSS
Latest issue
Current issues
Archive issues
What is RSS


Bul. Acad. Ştiinţe Repub. Mold. Mat.:
Year:
Volume:
Issue:
Page:
Find




Personal entry:
Login:
Password:
Save password
Enter
Forgotten password?
Register

Buletinul Academiei de Ştiinţe a Republicii Moldova. Matematica, 2012, Number 1, Pages 15–20 (Mi basm305)  
The stochastic optimal growth problem

Elvira Naval

Institute of Mathematics and Computer Science, Academy of Sciences of Moldova, Chişinău, Moldova
Full-text PDF (85 kB)
References:
PDF
HTML
Abstract: This paper concerns the formulation of economic optimal control problem in a stochastic form. Equilibrium growth rate for this problem was obtained on the base of the stochastic maximum principle following the new approach [1] to the solution of optimal control stochastic problem, in which the stochastic dynamic programming formulation is transformed into formulation of the maximum principle. This approach was applied to the solution of the stochastic optimal growth problem.
Keywords and phrases: optimal stochastic control, Ito's processes, Ito's Lemma, Hamilton–Jacobi–Bellman equation.
Received: 20.05.2011
Bibliographic databases:
Document Type: Article
MSC: C61, D91
Language: English
Citation: Elvira Naval, “The stochastic optimal growth problem”, Bul. Acad. Ştiinţe Repub. Mold. Mat., 2012, no. 1, 15–20
Citation in format AMSBIB
\Bibitem{Nav12}
\by Elvira Naval
\paper The stochastic optimal growth problem
\jour Bul. Acad. \c Stiin\c te Repub. Mold. Mat.
\yr 2012
\issue 1
\pages 15--20
\mathnet{http://mi.mathnet.ru/basm305}
\mathscinet{http://mathscinet.ams.org/mathscinet-getitem?mr=2987323}
\zmath{https://zbmath.org/?q=an:1251.93142}
Linking options:
  • https://www.mathnet.ru/eng/basm305
  • https://www.mathnet.ru/eng/basm/y2012/i1/p15
    • Citing articles in Google Scholar: Russian citations, English citations
    Related articles in Google Scholar: Russian articles, English articles
    		Buletinul Academiei de Ştiinţe a Republicii Moldova. Matematica
    Statistics & downloads:
    Abstract page:163
    Full-text PDF :57
    References:38
    First page:1
     
      Contact us:
    		  Terms of Use  Registration to the website  Logotypes © Steklov Mathematical Institute RAS, 2024