A Numerical Method for Solving Stochastic Optimal Control Problems with Linear Control
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DOI: 10.1007/s10614-011-9263-1
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References listed on IDEAS
- Pindyck, Robert S., 1993.
"Investments of uncertain cost,"
Journal of Financial Economics, Elsevier, vol. 34(1), pages 53-76, August.
- Robert S. Pindyck, 1992. "Investments of Uncertain Cost," NBER Working Papers 4175, National Bureau of Economic Research, Inc.
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Cited by:
- 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.
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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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