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A Matlab Package for Approximating the Solution to a Continuous- Time Stochastic Optimal Control Problem

  • Alistair Windsor

    (Victoria University of Wellington)

  • Jacek B. Krawczyk

    (Victoria University of Wellington)

Computing the solution to a stochastic optimal control problem is difficult. A method of approximating a solution to a given stochatic optimal problem was developed in [1]. This paper describes a suite of Matlab functions implementing this method of approximating a solution to a given continuous stochastic optimal control problem.

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Paper provided by EconWPA in its series Computational Economics with number 9710002.

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Length: 14 pages
Date of creation: 01 Oct 1997
Date of revision:
Handle: RePEc:wpa:wuwpco:9710002
Note: Type of Document - LaTeX; prepared on UNIX; to print on PostScript; pages: 14 ; figures: none
Contact details of provider: Web page: http://econwpa.repec.org

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