On a PDE Arising in One-Dimensional Stochastic Control Problems |
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| Authors: | Ricardo Josa-Fombellida Juan Pablo Rincón-Zapatero |
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| Institution: | 1.Departamento de Estadística e Investigación Operativa,Universidad de Valladolid,Valladolid,Spain;2.Departamento de Economía,Universidad Carlos III de Madrid,Madrid,Spain |
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| 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. |
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