Abstract
The purpose of this article is, first, to state the stochastic optimal control problem and, second, to explain how it differs from deterministic optimal control and why that difference is crucial in economic problems. The article presents intuitively the methodology of optimal stochastic control and provides an illustration from optimal stochastic economic growth as an application of this mathematical technique in economics.
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Malliaris, A.G. (2018). Stochastic Optimal Control. In: The New Palgrave Dictionary of Economics. Palgrave Macmillan, London. https://doi.org/10.1057/978-1-349-95189-5_1601
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DOI: https://doi.org/10.1057/978-1-349-95189-5_1601
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Publisher Name: Palgrave Macmillan, London
Print ISBN: 978-1-349-95188-8
Online ISBN: 978-1-349-95189-5
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