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

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Journal of Economic Dynamics and Control, 23, (1999), pp. 1329-53
http://hdl.handle.net/10230/634
To cite or link this document: http://hdl.handle.net/10230/634
dc.contributor.author Reiter, Michael
dc.contributor.other Universitat Pompeu Fabra. Departament d'Economia i Empresa
dc.date.issued 1997-03-01
dc.identifier.citation Journal of Economic Dynamics and Control, 23, (1999), pp. 1329-53
dc.identifier.uri http://hdl.handle.net/10230/634
dc.description.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.
dc.language.iso eng
dc.relation.ispartofseries Economics and Business Working Papers Series; 299
dc.rights L'accés als continguts d'aquest document queda condicionat a l'acceptació de les condicions d'ús establertes per la següent llicència Creative Commons
dc.rights.uri http://creativecommons.org/licenses/by-nc-nd/3.0/es/
dc.title Solving higher-dimensional continuous time stochastic control problems by value function regression
dc.type info:eu-repo/semantics/workingPaper
dc.date.modified 2014-06-03T07:13:56Z
dc.subject.keyword Microeconomics
dc.subject.keyword dynamic programming
dc.subject.keyword stochastic control
dc.subject.keyword approximation
dc.rights.accessRights info:eu-repo/semantics/openAccess


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