A numerical method for solving stochastic optimal control problems with linear control

DOI10.1007/S10614-011-9263-1MaRDI QIDQ429545zbMATH OpenOpenAlexFDO

Authors Walailuck Chavanasporn, Christian-Oliver Ewald

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

zbMATH Keywords

dynamic programmingcomputational economicsinvestment decisionsnumerical stochastic optimal control

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Optimal stochastic control (93E20) Computational methods for problems pertaining to game theory, economics, and finance (91-08)

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Cites work

• scientific article; zbMATH DE number 1577097 (Why is no real title available?)
• A Collocation Method for Two-Point Boundary Value Problems
• Approximate Solution of the Differential Equation y � � = f(x,y) with Spline Functions
• Collocation with Quadratic and Cubic Splines
• Quadratic spline and two-point boundary value problem
• Spline Function Approximations for Solutions of Ordinary Differential Equations

Cited in

(17)

• Solving higher-dimensional continuous-time stochastic control problems by value function regression
• Solving stochastic optimal control problems by a Wiener chaos approach
• Chebyshev wavelet-based method for solving various stochastic optimal control problems and its application in finance
• The numerical synthesis of optimal control for a linear differential equation with random coefficient
• An efficient algorithm for stochastic optimal control problems by means of a least-squares Monte-Carlo method
• A computational method for stochastic optimal control problems in financial mathematics
• Moving least-squares approximations for linearly-solvable stochastic optimal control problems
• 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
• A stochastic minimum principle and an adaptive pathwise algorithm for stochastic optimal control
• Numerical solution of the finite horizon stochastic linear quadratic control problem
• Numerical solutions for optimal control of stochastic Kolmogorov systems
• A numerical method for solving stochastic linear quadratic problem with a finance application
• A non-stochastic control with admissible probabilities for SDDEs, application to linear reactors
• An efficient gradient projection method for stochastic optimal control problems
• A framework for randomized time-splitting in linear-quadratic optimal control
• scientific article; zbMATH DE number 4072281 (Why is no real title available?)

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