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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)

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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Bibliographic 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://128.118.178.162

Related research

Keywords: s Approximating Markov decision chains; economic software;

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Cited by:
  1. Krawczyk, Jacek & Azzato, Jeffrey, 2006. "NISOCSol an algorithm for approximating Markovian equilibria in dynamic games with coupled-constraints," MPRA Paper 1195, University Library of Munich, Germany.
  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.
  3. Foster, Jarred, 2011. "Target variation in a loss avoiding pension fund problem," MPRA Paper 36177, University Library of Munich, Germany.
  4. Foster, Jarred & Krawczyk, Jacek B, 2013. "Sensitivity of cautious-relaxed investment policies to target variation," Working Paper Series 2972, Victoria University of Wellington, School of Economics and Finance.

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