B.D. Craven
Key words:		economic model, financial model, stochastic, optimal control, discrete
time
Mathematices Subject Classification: 46A22, 52A30, 06F30

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	Abstract:		Some economic models, including financial models, involve a small
stochastic term. Optimal control for such models can be handled approximately, in discrete time, by considering mean and covariance. This avoids independence assumptions made in the usual Brownian motion models, and allows simple computation.

Optimal control of an economic model with a small stochastic term

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Regular Paper
Volume 1, Number 1, January 2005, pp. 233-243

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