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

Jacek Krawczyk () and Alistair Windsor
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Alistair Windsor: Victoria University of Wellington

Computational Economics from EconWPA

Abstract: 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.

Keywords: Approximating Markov decision chains; simple noise discretisation. Natural resource valuation. (search for similar items in EconPapers)
JEL-codes: C8 C63 D92 Q25 (search for similar items in EconPapers)
Date: 1997-10-01
Note: Type of Document - LaTeX; prepared on UNIX; to print on PostScript; pages: 38 ; figures: included
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