On the adaptation of the Lagrange formalism to continuous time stochastic optimal control : a Lagrange-Chow redux
Year of publication: |
2024
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Authors: | Ewald, Christian ; Nolan, Charles |
Published in: |
Journal of economic dynamics & control. - Amsterdam : North-Holland Publ. Co., ISSN 0165-1889, ZDB-ID 1460621-5. - Vol. 162.2024, Art.-No. 104855, p. 1-18
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Subject: | Continuous optimization | Dynamic programming | Economic growth models | Lagrange formalism | Optimal control | Regression-based Monte Carlo methods | Stochastic processes | Dynamische Optimierung | Stochastischer Prozess | Stochastic process | Kontrolltheorie | Control theory | Monte-Carlo-Simulation | Monte Carlo simulation | Wachstumstheorie | Growth theory |
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