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An Approximated Solution to Continuous-Time Stochastic Optimal Control Problems Through Markov Decision Chains

  • Jacek B. Krawczyk

    (Victoria University of Wellington)

  • Alistair Windsor

    (Victoria University of Wellington)

Strategies for constructing a Markov decision chain approximating a continuous-time finite-horizon optimal control problem are investigated. Some simple, analytically soluble, examples are treated and low computational complexity is reported. Extensions to the method and implementation are discussed. In particular, relevance of the approximated solution to a stochastic renewable resource valuation problem is examined.

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Paper provided by EconWPA in its series Computational Economics with number 9710001.

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Length: 38 pages
Date of creation: 01 Oct 1997
Date of revision:
Handle: RePEc:wpa:wuwpco:9710001
Note: Type of Document - LaTeX; prepared on UNIX; to print on PostScript; pages: 38 ; figures: included
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