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A solution to a class of agency problems, with application to the question of limited liability

✍ Scribed by Shailendra Raj Mehta


Book ID
116101636
Publisher
Elsevier Science
Year
1993
Tongue
English
Weight
343 KB
Volume
43
Category
Article
ISSN
0165-1765

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Solution to a class of stochastic LQ pro
✍ D.V. Iourtchenko πŸ“‚ Article πŸ“… 2009 πŸ› Elsevier Science 🌐 English βš– 824 KB

A new approach for finding an exact analytical solution to the modified Hamilton-Jacobi-Bellman equation is proposed. Together with the recently developed hybrid solution method, the proposed strategy allows to find a solution to a whole class of stochastic optimal control problems with bounded in m