An Approximated Solution to Continuous-Time Stochastic Optimal Control Problems Through Markov Decision Chains
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- Azzato, Jeffrey & Krawczyk, Jacek, 2006. "SOCSol4L An improved MATLAB package for approximating the solution to a continuous-time stochastic optimal control problem," MPRA Paper 1179, University Library of Munich, Germany.
- Jacek B. Krawczyk, 2000. "A Markovian Approximated Solution To A Portfolio Management Problem," Computing in Economics and Finance 2000 233, Society for Computational Economics.
- Azzato, Jeffrey & Krawczyk, Jacek B & Sissons, Christopher, 2011. "On loss-avoiding lump-sum pension optimization with contingent targets," Working Paper Series 1532, Victoria University of Wellington, School of Economics and Finance.
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KeywordsApproximating Markov decision chains; simple noise discretisation. Natural resource valuation.;
- C8 - Mathematical and Quantitative Methods - - Data Collection and Data Estimation Methodology; Computer Programs
- C63 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Computational Techniques
- D92 - Microeconomics - - Micro-Based Behavioral Economics - - - Intertemporal Firm Choice, Investment, Capacity, and Financing
- Q25 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Renewable Resources and Conservation - - - Water
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