InfSOCSol2 An updated MATLAB Package for Approximating the Solution to a Continuous-Time Infinite Horizon Stochastic Optimal Control Problem with Control and State Constraints
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- Krawczyk, Jacek B & Pharo, Alastair S, 2014. "InfsocSol3: An updated MATLABÂ® package for approximating the solution to a continuous-time infinite horizon stochastic optimal control problem," Working Paper Series 3412, Victoria University of Wellington, School of Economics and Finance.
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KeywordsComputational economics; Financial engineering; Approximating Markov decision chains;
- C63 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Computational Techniques
- C88 - Mathematical and Quantitative Methods - - Data Collection and Data Estimation Methodology; Computer Programs - - - Other Computer Software
- G23 - Financial Economics - - Financial Institutions and Services - - - Non-bank Financial Institutions; Financial Instruments; Institutional Investors
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2009-09-05 (All new papers)
- NEP-CMP-2009-09-05 (Computational Economics)
- NEP-DGE-2009-09-05 (Dynamic General Equilibrium)
- NEP-ORE-2009-09-05 (Operations Research)
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