Solving higher-dimensional continuous time stochastic control problems by value function regression

Michael Reiter

Economics Working Papers from Department of Economics and Business, Universitat Pompeu Fabra

Abstract: The paper develops a method to solve higher-dimensional stochastic control problems in continuous time. A finite difference type approximation scheme is used on a coarse grid of low discrepancy points, while the value function at intermediate points is obtained by regression. The stability properties of the method are discussed, and applications are given to test problems of up to 10 dimensions. Accurate solutions to these problems can be obtained on a personal computer.

Keywords: Dynamic Programming; stochastic control; approximation (search for similar items in EconPapers)
JEL-codes: C61 (search for similar items in EconPapers)
Date: 1997-03, Revised 1998-06
New Economics Papers: this item is included in nep-dge and nep-ecm
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Related works:
Journal Article: Solving higher-dimensional continuous-time stochastic control problems by value function regression (1999)
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Persistent link: https://EconPapers.repec.org/RePEc:upf:upfgen:299

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