Reiter, MichaelUniversitat Pompeu Fabra. Departament d'Economia i Empresa2018-02-142018-02-141997-03-01Journal of Economic Dynamics and Control, 23, (1999), pp. 1329-53http://hdl.handle.net/10230/634The 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.application/pdfengL'accés als continguts d'aquest document queda condicionat a l'acceptació de les condicions d'ús establertes per la següent llicència Creative Commonsinfo:eu-repo/semantics/workingPaperdynamic programmingstochastic controlapproximationMicroeconomicsinfo:eu-repo/semantics/openAccess