Optimality for Controlled Jump Processes: A Simple Approach.

B-Tier
Journal: Economic Theory
Year: 1993
Volume: 3
Issue: 4
Pages: 765-74

Score contribution per author:

2.018 = (α=2.02 / 1 authors) × 1.0x B-tier

α: calibrated so average coauthorship-adjusted count equals average raw count

Abstract

This note presents a very simple method for deriving the necessary optimality conditions for optimal control of jump (point) processes. By means of Bellman's principle of optimality, the original stochastic control problem is transformed into a simple optimization problem. The derivation is remarkably simpler than the existing ones in the literature.

Technical Details

RePEc Handle
repec:spr:joecth:v:3:y:1993:i:4:p:765-74
Journal Field
Theory
Author Count
1
Added to Database
2026-01-25