The state equations methods for stochastic control problems

DOI10.4208/NMTMA.2009.M99006MaRDI QIDQ3071784zbMATH OpenOpenAlexFDO

Authors Lijin Wang, Fengshan Bai

Publication date 5 February 2011

Published in Numerical Mathematics: Theory, Methods and Applications (Search for Journal in Brave)

Full work available at URL https://semanticscholar.org/paper/d0a9eb87fa0c759b5ca4bd359320ab087703646e

zbMATH Keywords

Markov chain approximationportfolio managementpredictor-corrector methodsstochastic optimal control

Mathematics Subject Classification ID

Markov and semi-Markov decision processes (90C40) Portfolio theory (91G10) Financial applications of other theories (91G80) Optimal stochastic control (93E20)

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(2)

• Applications of Markov chain approximation methods to optimal control problems in economics
• Conjugate gradient method preconditioned with modified block SSOR iteration for multiplicative half-quadratic image restoration

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