A Numerical Method for Solving Stochastic Optimal Control Problems with Linear Control
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Bibliographic InfoArticle provided by Society for Computational Economics in its journal Computational Economics.
Volume (Year): 39 (2012)
Issue (Month): 4 (April)
Numerical stochastic optimal control; Dynamic programming; Computational economics; Investment decisions; C63;
Find related papers by JEL classification:
- C63 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Computational Techniques
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- Pindyck, Robert S., 1993.
"Investments of uncertain cost,"
Journal of Financial Economics,
Elsevier, vol. 34(1), pages 53-76, August.
- Walailuck Chavanasporn & Christian-Oliver Ewald, 2012. "Privatization of businesses and flexible investment: a real option approach," Decisions in Economics and Finance, Springer, vol. 35(1), pages 75-89, May.
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