Solving higher-dimensional continuous-time stochastic control problems by value function regression

DOI10.1016/S0165-1889(98)00076-1MaRDI QIDQ1960551zbMATH OpenFDO

Authors Michael Reiter

Publication date 12 January 2000

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

zbMATH Keywords

stochastic controlcontinuous timefinite difference scheme

Mathematics Subject Classification ID

Discrete approximations in optimal control (49M25)

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Cites work

• scientific article; zbMATH DE number 3942890 (Why is no real title available?)
• scientific article; zbMATH DE number 53999 (Why is no real title available?)
• scientific article; zbMATH DE number 733664 (Why is no real title available?)
• scientific article; zbMATH DE number 1099379 (Why is no real title available?)
• scientific article; zbMATH DE number 1099381 (Why is no real title available?)
• Projection methods for solving aggregate growth models
• Using Randomization to Break the Curse of Dimensionality

Cited in

(11)

• Optimal time aggregation of infinite horizon control problems
• Error estimation and adaptive discretization for the discrete stochastic Hamilton-Jacobi-Bellman equation
• A discrete time approach for modeling two-factor mean-reverting stochastic processes
• On the adaptation of the Lagrange formalism to continuous time stochastic optimal control: a Lagrange-Chow redux
• Regression methods for stochastic control problems and their convergence analysis
• High-dimensional stochastic control models for newsvendor problems and deep learning resolution
• Adaptive spline interpolation for Hamilton-Jacobi-Bellman equations
• Asset pricing with dynamic programming
• Using dynamic programming with adaptive grid scheme for optimal control problems in economics
• A STATE‐SPACE PARTITIONING METHOD FOR PRICING HIGH‐DIMENSIONAL AMERICAN‐STYLE OPTIONS
• Controlled approximation of the value function in stochastic dynamic programming for multi-reservoir systems

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