Questions tagged [optimal-control]

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21
votes
3answers
711 views

When Optimal Control fails (?)

In order to "ask my question", I have to solve a model first. I will omit some steps but still, this will unavoidably make this post very long -so this is also a test to see whether this community ...
13
votes
1answer
486 views

Stochastic growth in continuous time

Literature: See Chang (1988) for theoretical part and Achdou et al. (2015) for numerical part respectively. Model Consider the following stochastic optimal growth problem in per capita notation. \...
2
votes
2answers
278 views

Dynamic programming, optimal consumption-savings (finite horizon) problem

Let $w_t$ denote a consumer's wealth at time $t$ and $c_t$, the amount she chooses to consume, so her savings exiting this time period are $w_t-c_t$. Given this savings decision, her savings $w_{t+1}$ ...