Applications of Markov chain approximation methods to optimal control problems in economics

DOI10.1016/J.JEDC.2022.104437OpenAlexW4280575911MaRDI QIDQ2097976FDOQ2097976

Authors: Thomas Phelan, Keyvan Eslami 

Publication date: 17 November 2022

Published in: Journal of Economic Dynamics and Control (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jedc.2022.104437

Recommendations

• The Markov chain approximation approach for numerical solution of stochastic control problems: experiences from Merton's problem.
• Numerical solutions of stochastic control problems: Markov chain approximation methods
• scientific article; zbMATH DE number 1222807
• The state equations methods for stochastic control problems
• Assessing Markov chain approximations: a minimal econometric approach

zbMATH Keywords

dynamic programmingnumerical methodsfinancial frictionsMarkov chain approximation

Mathematics Subject Classification ID

Game theory, economics, finance, and other social and behavioral sciences (91-XX)

Cites Work

• Title not available (Why is that?)
• Title not available (Why is that?)
• Consistency of Generalized Finite Difference Schemes for the Stochastic HJB Equation
• A fast algorithm for the two dimensional HJB equation of stochastic control
• Optimal stochastic control, stochastic target problems, and backward SDE.
• The method of endogenous gridpoints for solving dynamic stochastic optimization problems
• Modified Policy Iteration Algorithms for Discounted Markov Decision Problems
• On the Convergence of Policy Iteration in Stationary Dynamic Programming
• Altruistically motivated transfers under uncertainty
• Income and wealth distribution in macroeconomics: a continuous-time approach

Cited In (4)

• Assessing Markov chain approximations: a minimal econometric approach
• The Markov chain approximation approach for numerical solution of stochastic control problems: experiences from Merton's problem.
• Continuous vs. discrete time: some computational insights
• Discretization of highly persistent correlated AR(1) shocks

This page was built for publication: Applications of Markov chain approximation methods to optimal control problems in economics

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2097976)