A numerical method for solving stochastic optimal control problems with linear control
From MaRDI portal
Publication:429545
DOI10.1007/s10614-011-9263-1zbMath1242.91202OpenAlexW2135856477MaRDI QIDQ429545
Christian-Oliver Ewald, Walailuck Chavanasporn
Publication date: 19 June 2012
Published in: Computational Economics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s10614-011-9263-1
Numerical methods (including Monte Carlo methods) (91G60) Optimal stochastic control (93E20) Computational methods for problems pertaining to game theory, economics, and finance (91-08)
Related Items (2)
Privatization of businesses and flexible investment: a real option approach ⋮ A Computational Method for Stochastic Optimal Control Problems in Financial Mathematics
Cites Work
- Unnamed Item
- Quadratic spline and two-point boundary value problem
- Collocation with Quadratic and Cubic Splines
- A Collocation Method for Two-Point Boundary Value Problems
- [https://portal.mardi4nfdi.de/wiki/Publication:4402781 Approximate Solution of the Differential Equation y � � = f(x,y) with Spline Functions]
- Spline Function Approximations for Solutions of Ordinary Differential Equations
This page was built for publication: A numerical method for solving stochastic optimal control problems with linear control
