On maximizing the present value of future dividends using stochastic control.
We illustrate the use of the Hamilton Jacobi Bellman (HJB) equation in solving a stochastic control problem. The method involves transforming the stochastic differential equation into a simpler form, but techniques in solving ODEs still have to be used to obtain the closed form of the solution. We a...
| Published in: | Philippine Computing Journal 1, 2 (2006). |
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| Main Author: | |
| Format: | Article |
| Language: | English |
| Subjects: |