Optimal Control Problems for Stochastic Problems with Absorbing Regimes

In this note we formulate an optimality problem for Stochastic process with a regime absorbing state. We present a solution for this problem as a pair of differential equations that are recusrsively linked. As an application I obtain an analytical for the Merton portfolio problem in a case for a stock with certain default probability in case of a log utility. As far as I can tell this analytical solution hasn't appeared in the literature before

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Year of publication:	2023
Authors:	Kopeliovich, Yaacov
Publisher:	[S.l.] : SSRN
Subject:	Kontrolltheorie \| Control theory \| Stochastischer Prozess \| Stochastic process \| Mathematische Optimierung \| Mathematical programming

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Extent:	1 Online-Ressource (5 p)
Type of publication:	Book / Working Paper
Language:	English
Notes:	Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments February 28, 2023 erstellt
Other identifiers:	10.2139/ssrn.4373614 [DOI]
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10014255514