Bitte verwenden Sie diesen Link, um diese Publikation zu zitieren, oder auf sie als Internetquelle zu verweisen: https://hdl.handle.net/10419/22720 
Kompletter Metadatensatz
DublinCore-FeldWertSprache
dc.contributor.authorSennewald, Kenen
dc.date.accessioned2009-01-29T15:07:49Z-
dc.date.available2009-01-29T15:07:49Z-
dc.date.issued2005-
dc.identifier.urihttp://hdl.handle.net/10419/22720-
dc.description.abstractThe present paper is concerned with the optimal control of stochastic differential equations, where uncertainty stems from one or more independent Poisson processes. Optimal behavior in such a setup (e.g., optimal consumption) is usually determined by employing the Hamilton-Jacobi-Bellman equation. This, however, requires strong assumptions on the model, such as a bounded utility function and bounded coefficients in the controlled differential equation. The present paper relaxes these assumptions. We show that one can still use the Hamilton-Jacobi-Bellman equation as a necessary criterion for optimality if the utility function and the coefficients are linearly bounded. We also derive sufficiency in a verification theorem without imposing any boundedness condition at all. It is finally shown that, under very mild assumptions, an optimal Markov control is optimal even within the class of general controls.en
dc.language.isoengen
dc.publisher|aTechnische Universität Dresden, Fakultät Wirtschaftswissenschaften |cDresdenen
dc.relation.ispartofseries|aDresden Discussion Paper Series in Economics |x03/05en
dc.subject.jelC61en
dc.subject.ddc330en
dc.subject.keywordStochastic differential equationen
dc.subject.keywordPoisson processen
dc.subject.keywordBellman equationen
dc.subject.stwKontrolltheorieen
dc.subject.stwAnalysisen
dc.subject.stwStochastischer Prozessen
dc.subject.stwZeitpräferenzen
dc.subject.stwTheorieen
dc.titleControlled Stochastic Differential Equations under Poisson Uncertainty and with Unbounded Utility-
dc.typeWorking Paperen
dc.identifier.ppn498470601en
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungenen
dc.identifier.repecRePEc:zbw:tuddps:0305en

Datei(en):
Datei
Größe
415.94 kB





Publikationen in EconStor sind urheberrechtlich geschützt.