A Matlab Package for Approximating the Solution to a Continuous- Time Stochastic Optimal Control Problem

Computing the solution to a stochastic optimal control problem is difficult. A method of approximating a solution to a given stochatic optimal problem was developed in [1]. This paper describes a suite of Matlab functions implementing this method of approximating a solution to a given continuous stochastic optimal control problem.

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Year of publication:	1997-10-01
Authors:	Windsor, Alistair ; Krawczyk, Jacek B.
Institutions:	EconWPA
Subject:	s Approximating Markov decision chains \| economic software

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Extent:	application/x-tex application/pdf application/postscript
Series:	Computational Economics.
Type of publication:	Book / Working Paper
Notes:	Type of Document - LaTeX; prepared on UNIX; to print on PostScript; pages: 14 ; figures: none 14 pages
Classification:	C63 - Computational Techniques ; C87 - Econometric Software
Source:	RePEc - Research Papers in Economics

Persistent link: https://ebvufind01.dmz1.zbw.eu/10005125043