"Ito's Lemma" and the Bellman equation for Poisson processes: An applied view
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- Ken Sennewald & Klaus Wälde, 2006. "“Itô's Lemma” and the Bellman Equation for Poisson Processes: An Applied View," Journal of Economics, Springer, vol. 89(1), pages 1-36, October.
- Ken Sennewald & Klaus Wälde, 2006. "“Itô’s Lemma“ and the Bellman Equation for Poisson Processes: An Applied View," CESifo Working Paper Series 1684, CESifo.
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- Fissel, Benjamin E & Glibert, Ben, 2010. "Exogenous Productivity Shocks and Capital Investment in Common-pool Resources," University of California at San Diego, Economics Working Paper Series qt1qp1g9ts, Department of Economics, UC San Diego.
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- Juan Carlos Parra-Alvarez & Olaf Posch & Mu-Chun Wang, 2020. "Estimation of heterogeneous agent models: A likelihood approach," CREATES Research Papers 2020-05, Department of Economics and Business Economics, Aarhus University.
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- Tsuboi, Mizuki, 2019. "Resource scarcity, technological progress, and stochastic growth," Economic Modelling, Elsevier, vol. 81(C), pages 73-88.
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More about this item
Keywords
Stochastic differential equation; Poisson process; Bellman equation; Portfolio optimization; Consumption optimization;All these keywords.
JEL classification:
- C61 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Optimization Techniques; Programming Models; Dynamic Analysis
- G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
- D90 - Microeconomics - - Micro-Based Behavioral Economics - - - General
- D81 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Criteria for Decision-Making under Risk and Uncertainty
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