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

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

Computational Economics 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 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.

Keywords: s Approximating Markov decision chains; economic software (search for similar items in EconPapers)
JEL-codes: C63 C87 (search for similar items in EconPapers)
Pages: 14 pages
Date: 1997-10-01
Note: Type of Document - LaTeX; prepared on UNIX; to print on PostScript; pages: 14 ; figures: none
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Citations: View citations in EconPapers (6)

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