Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/22720
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dc.contributor.authorSennewald, Kenen_US
dc.date.accessioned2009-01-29T15:07:49Z-
dc.date.available2009-01-29T15:07:49Z-
dc.date.issued2005en_US
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_US
dc.language.isoengen_US
dc.relation.ispartofseries|aDresden discussion paper in economics |x03/05en_US
dc.subject.jelC61en_US
dc.subject.ddc330en_US
dc.subject.keywordStochastic differential equationen_US
dc.subject.keywordPoisson processen_US
dc.subject.keywordBellman equationen_US
dc.subject.stwKontrolltheorieen_US
dc.subject.stwAnalysisen_US
dc.subject.stwStochastischer Prozessen_US
dc.subject.stwZeitpräferenzen_US
dc.subject.stwTheorieen_US
dc.titleControlled Stochastic Differential Equations under Poisson Uncertainty and with Unbounded Utilityen_US
dc.typeWorking Paperen_US
dc.identifier.ppn498470601en_US
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungen-
dc.identifier.repecRePEc:zbw:tuddps:0305-

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