IDEAS home Printed from https://ideas.repec.org/a/inm/oropre/v19y1971i6p1419-1433.html
   My bibliography  Save this article

The Solution of an Optimal Control Problem in Financial Modeling

Author

Listed:
  • Blaine E. Davis

    (American Telephone and Telegraph Company, New York, New York)

  • D. Jack Elzinga

    (The Johns Hopkins University, Baltimore, Maryland)

Abstract

This paper solves a financial decision-making model in investment activity. Although highly simplified, it leads to a very complicated nonlinear optimal control problem whose complete feedback control solution is obtained by means of a reverse-time construction technique. A dispersal surface with nonunique solutions is present in the optimal solution because of the non-concavity of the problem.

Suggested Citation

  • Blaine E. Davis & D. Jack Elzinga, 1971. "The Solution of an Optimal Control Problem in Financial Modeling," Operations Research, INFORMS, vol. 19(6), pages 1419-1433, October.
    • Handle: RePEc:inm:oropre:v:19:y:1971:i:6:p:1419-1433
    DOI: 10.1287/opre.19.6.1419
    as

    Download full text from publisher

    File URL: http://dx.doi.org/10.1287/opre.19.6.1419
    Download Restriction: no
    File URL: https://libkey.io/10.1287/opre.19.6.1419?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Eugene Khmelnitsky, 2002. "A Combinatorial, Graph-Based Solution Method for a Class of Continuous-Time Optimal Control Problems," Mathematics of Operations Research, INFORMS, vol. 27(2), pages 312-325, May.

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:inm:oropre:v:19:y:1971:i:6:p:1419-1433. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Chris Asher (email available below). General contact details of provider: https://edirc.repec.org/data/inforea.html .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.