On a PDE Arising in One-Dimensional Stochastic Control Problems Articles uri icon

publication date

  • October 2010

start page

  • 1

end page

  • 26

issue

  • 1

volume

  • 147

international standard serial number (ISSN)

  • 0022-3239

electronic international standard serial number (EISSN)

  • 1573-2878

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.