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 controlproblem. The method involves transforming the stochastic dii'l'erential equation into a simpler form, but techniques in Solving ODEs still have to be used to obtain the closed form of the sol...
| Cyhoeddwyd yn: | Philippine Computing Journal 1, 2 (Dec. 2006). |
|---|---|
| Prif Awdur: | |
| Awduron Eraill: | |
| Fformat: | Erthygl |
| Iaith: | English |
| Pynciau: |