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

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.

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Year of publication:	2011
Authors:	Ewald, Christian-Oliver ; Wang, Wen-Kai
Published in:	Mathematical Social Sciences. - Elsevier, ISSN 0165-4896. - Vol. 61.2011, 3, p. 146-151
Publisher:	Elsevier
Keywords:	Dynamic programming Stochastic optimal control Hamilton-Jacobi-Bellman equation Computational economics

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10009194902