Working paper

Representation formulas for limit values of long run stochastic optimal controls

R. Buckdahn, Jin Li, Marc Quincampoix, and Jérôme Renault

Keywords

Stochastic nonexpansivity condition; limit value; stochastic optimal control;

JEL codes

  • C61: Optimization Techniques • Programming Models • Dynamic Analysis

Reference

R. Buckdahn, Jin Li, Marc Quincampoix, and Jérôme Renault, Representation formulas for limit values of long run stochastic optimal controls, TSE Working Paper, n. 19-1007, April 2019.

See also

Published in

TSE Working Paper, n. 19-1007, April 2019