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On a PDE Arising in One-Dimensional Stochastic Control Problems

  • Ricardo Josa-Fombellida
  • Juan Pablo Rincón-Zapatero
Article

Abstract

The paper provides a systematic way for finding a partial differential equation that directly characterizes the optimal control, in the framework of one-dimensional stochastic control problems of Mayer type, with no constraints on the controls. The results obtained are applied to continuous-time portfolio problems.

Keywords

Dynamic programming Stochastic control Quasilinear parabolic equation Investment problems 

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Copyright information

© Springer Science+Business Media, LLC 2010

Authors and Affiliations

  • Ricardo Josa-Fombellida
    • 1
  • Juan Pablo Rincón-Zapatero
    • 2
  1. 1.Departamento de Estadística e Investigación OperativaUniversidad de ValladolidValladolidSpain
  2. 2.Departamento de EconomíaUniversidad Carlos III de MadridMadridSpain

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