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A Numerical Method for Solving Stochastic Optimal Control Problems with Linear Control

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  • Walailuck Chavanasporn
  • Christian-Oliver Ewald

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Abstract

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Suggested Citation

  • Walailuck Chavanasporn & Christian-Oliver Ewald, 2012. "A Numerical Method for Solving Stochastic Optimal Control Problems with Linear Control," Computational Economics, Springer;Society for Computational Economics, vol. 39(4), pages 429-446, April.
    • Handle: RePEc:kap:compec:v:39:y:2012:i:4:p:429-446
    DOI: 10.1007/s10614-011-9263-1
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    File URL: http://hdl.handle.net/10.1007/s10614-011-9263-1
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    References listed on IDEAS

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    1. Pindyck, Robert S., 1993. "Investments of uncertain cost," Journal of Financial Economics, Elsevier, vol. 34(1), pages 53-76, August.
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    Cited by:

    1. Walailuck Chavanasporn & Christian-Oliver Ewald, 2012. "Privatization of businesses and flexible investment: a real option approach," Decisions in Economics and Finance, Springer;Associazione per la Matematica, vol. 35(1), pages 75-89, May.

    More about this item

    Keywords

    Numerical stochastic optimal control; Dynamic programming; Computational economics; Investment decisions; C63;

    JEL classification:

    • C63 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Computational Techniques

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