Optimal Control of Dynamic Stochastic Systems: Some Mathematical and Computational Approaches

Reinhard Neck*

This paper gives an introduction to some approaches and methods of optimization that find applications in economics and finance. Emphasis is given to stochastic control theory and related techniques and numerical algorithms providing optimal or approximately optimal solutions to stochastic optimum control problems and dynamic game problems.

Mathematics Subject Classification: 49M30

Keywords: stochastic control; optimal control; econometrics; algorithm; modelling

Minisymposion: Computational Optimization Methods in Statistics, Econometrics and Finance