Optimal control of an economic model with a small stochastic term
by Assoc Prof Bruce Craven
Abstract: Some economic models, including financial models, involve a
small stochastic term. Optimal control for such models can be handled
approximately, in discrete time, by considering mean and covariance. This
avoids independence assumptions made in the usual Brownian motion
allows simple computation.
For More Information: Mark Fackrell tel: 8344 8053 email: email@example.com