On a PDE Arising in One-Dimensional Stochastic Control Problems

The paper provides a systematic way for finding a partial differential equation that directly characterizes the optimal control, in the framework of one

• Type: Journal
• Year: 2010
• Where: JOTA
• Authors: Ricardo Josa-Fombellida, Juan Pablo Rincón-Zapatero
• Keywords: JOTA 2010, Optimal Control, Stochastic Control Problems, Systematic Way