A numerical method for solving stochastic optimal control problems with linear control
DOI10.1007/S10614-011-9263-1zbMATH Open1242.91202OpenAlexW2135856477MaRDI QIDQ429545FDOQ429545
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
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Numerical methods (including Monte Carlo methods) (91G60) Optimal stochastic control (93E20) Computational methods for problems pertaining to game theory, economics, and finance (91-08)
Cites Work
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- A Collocation Method for Two-Point Boundary Value Problems
- Approximate Solution of the Differential Equation y � � = f(x,y) with Spline Functions
- Quadratic spline and two-point boundary value problem
- Collocation with Quadratic and Cubic Splines
- Spline Function Approximations for Solutions of Ordinary Differential Equations
Cited In (10)
- An efficient algorithm for stochastic optimal control problems by means of a least-squares Monte-Carlo method
- Numerical solution of the finite horizon stochastic linear quadratic control problem
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- A non-stochastic control with admissible probabilities for SDDEs, application to linear reactors
- Solving higher-dimensional continuous-time stochastic control problems by value function regression
- A computational method for stochastic optimal control problems in financial mathematics
- Privatization of businesses and flexible investment: a real option approach
- Some Analytic Aspects of the Linear-Programming Approach to the Numerical Solution of Singular Stochastic Control Problems
- The numerical synthesis of optimal control for a linear differential equation with random coefficient
- Numerical solutions for optimal control of stochastic Kolmogorov systems
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