SOCSol4L: An improved MATLAB package for approximating the solution to a continuous-time stochastic optimal control problem

Jeffrey Azzato and Jacek Krawczyk ()

MPRA Paper from University Library of Munich, Germany

Abstract: Computing the solution to a stochastic optimal control problem is difficult. A method of approximating a solution to a given stochastic optimal control problem using Markov chains was developed in [Kra01]. This paper describes a suite of MATLAB functions implementing this method of approximating a solution to a given continuous stochastic optimal control problem.

Keywords: Computational techniques; Economic software; Computational methods in stochastic optimal control; Computational economics; Approximating Markov decision chains (search for similar items in EconPapers)
JEL-codes: C87 C63 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-cmp
Date: 2006-12
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http://mpra.ub.uni-muenchen.de/1179/ orginal version
http://mpra.ub.uni-muenchen.de/8946/ revised version
http://mpra.ub.uni-muenchen.de/10015/ revised version

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