Solving higher-dimensional continuous-time stochastic control problems by value function regression
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- Michael Reiter, 1997. "Solving higher-dimensional continuous time stochastic control problems by value function regression," Economics Working Papers 299, Department of Economics and Business, Universitat Pompeu Fabra, revised Jun 1998.
References listed on IDEAS
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- Michael Reiter, "undated". "Solving Higher-Dimensional Continuous Time Stochastic Control Problems by Value Function Interpolation," Computing in Economics and Finance 1997 135, Society for Computational Economics.
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CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- Lars Grüne & Willi Semmler, 2007. "Asset pricing with dynamic programming," Computational Economics, Springer;Society for Computational Economics, vol. 29(3), pages 233-265, May.
- Willi Semmler & Lars GrÃ¼ne, 2004. "Asset Pricing with Delayed Consumption Decisions," Computing in Economics and Finance 2004 59, Society for Computational Economics.
- Leach, Andrew J., 2007. "The climate change learning curve," Journal of Economic Dynamics and Control, Elsevier, vol. 31(5), pages 1728-1752, May.
- Grune, Lars & Semmler, Willi, 2004. "Using dynamic programming with adaptive grid scheme for optimal control problems in economics," Journal of Economic Dynamics and Control, Elsevier, vol. 28(12), pages 2427-2456, December.
- Alemdar, Nedim M. & Sirakaya, Sibel & Husseinov, Farhad, 2006. "Optimal time aggregation of infinite horizon control problems," Journal of Economic Dynamics and Control, Elsevier, vol. 30(4), pages 569-593, April.
More about this item
- C61 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Optimization Techniques; Programming Models; Dynamic Analysis
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