Discretisation of Stochastic Control Problems for Continuous Time Dynamics with Delay
As a main step in the numerical solution of control problems in continuous time, the controlled process is approximated by sequences of controlled Markov chains, thus discretizing time and space. A new feature in this context is to allow for delay in the dynamics. The existence of an optimal strategy with respect to the cost functional can be guaranteed in the class of relaxed controls. Weak convergence of the approximating extended Markov chains to the original process together with convergence of the associated optimal strategies is established.
|Date of creation:||Aug 2005|
|Date of revision:||Dec 2005|
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Web page: http://sfb649.wiwi.hu-berlin.de
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- Boucekkine, Raouf & Del Rio, Fernando & Licandro, Omar, 2000.
"Vintage capital and the dynamics of the AK model,"
CEPREMAP Working Papers (Couverture Orange)
- R. Boucekkine & F. del Rio & O. Licandro & Luis A. Puch, 2000. "Vintage Capital and the Dynamics of the AK Model," Econometric Society World Congress 2000 Contributed Papers 0436, Econometric Society.
- Raouf BOUCEKKINE & Omar LICANDRO & Luis A. PUCH & Fernando DEL RIO, 2002. "Vintage Capital And the Dynamics of the AK Model," Economics Working Papers ECO2002/07, European University Institute.
- Raouf Boucekkine & Omar Licandro & Luis A. Puch & Fernando del Rio, 2003. "Vintage capital and the dynamics of the AK model," Documentos de Trabajo del ICAE 0310, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
- BOUCEKKINE, Raouf & LICANDRO, Omar & PUCH, Luis A. & DEL RIO, Fernando, . "Vintage capital and the dynamics of the AK model," CORE Discussion Papers RP 1757, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
- Raouf Boucekkine & Omar Licandro & Luis A. Puch & Fernando del Rio, . "Vintage capital and the dynamics of the AK model," Working Papers 2000-01, FEDEA.
- Boucekkine, Raouf & Licandro, Omar & Puch, Luis A. & del Rio, Fernando, 1999. "Vintage Capital and the Dynamics of the AK Model," Discussion Papers (IRES - Institut de Recherches Economiques et Sociales) 2000009, Université catholique de Louvain, Institut de Recherches Economiques et Sociales (IRES).
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