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A Matlab Package for Approximating the Solution to a Continuous- Time Stochastic Optimal Control Problem

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Author Info
Alistair Windsor (Victoria University of Wellington)
Jacek B. Krawczyk (Victoria University of Wellington)

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Abstract

Computing the solution to a stochastic optimal control problem is difficult. A method of approximating a solution to a given stochatic optimal problem was developed in [1]. This paper describes a suite of Matlab functions implementing this method of approximating a solution to a given continuous stochastic optimal control problem.

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Publisher Info
Paper provided by EconWPA in its series Computational Economics with number 9710002.

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Length: 14 pages
Date of creation: 01 Oct 1997
Date of revision:
Handle: RePEc:wpa:wuwpco:9710002

Note: Type of Document - LaTeX; prepared on UNIX; to print on PostScript; pages: 14 ; figures: none
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Web page: http://129.3.20.41

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Related research
Keywords: s Approximating Markov decision chains; economic software;

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Find related papers by JEL classification:
C63 - Mathematical and Quantitative Methods - - Mathematical Methods and Programming - - - Computational Techniques
C87 - Mathematical and Quantitative Methods - - Data Collection and Data Estimation Methodology; Computer Programs - - - Econometric Software

Cited by:
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  1. Krawczyk, Jacek B. & Azzato, Jeffrey D., 2006. "A report on NISOCSol: An algorithm for approximating Markovian equilibria in dynamic games with coupled-constraints," MPRA Paper 1195, University Library of Munich, Germany, revised Aug 2008. [Downloadable!]
  2. Jacek B. Krawczyk, 2000. "A Markovian Approximated Solution To A Portfolio Management Problem," Computing in Economics and Finance 2000 233, Society for Computational Economics. [Downloadable!]
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Did you know? The RePEc project started in 1997. Its precursor, NetEc, dates back to 1993.

This page was last updated on 2009-11-13.

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