Et ‡

1. The basic problem and its solution in the deterministic case à 1.1. General deterministic case Dynamic programming in continuous time has seen many applications in economics and finance. A very readable exposition of the method appears in Chow (1997) and forms the basis for what is shown here. I have modified the notation slightly, and will only consider a one dimensional case. Note that this is not going to be an in depth exposition of all of the details. It is expected that the reader understand the basic optimization problem as set out in Chow (1997) or any other treatment of this topic. The emphasis here is on the method of solution and the use of Mathematica to obtain results. The basic problem on which we concentrate our effort is the following