SOCSol4L: An improved 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 stochastic optimal control problem using Markov chains was developed in [Kra01]. 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:	2006-12
Authors:	Azzato, Jeffrey D. ; Krawczyk, Jacek B.

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Type of publication:	Book / Working Paper
Language:	English
Notes:	Azzato, Jeffrey D. and Krawczyk, Jacek B. (2006): SOCSol4L: An improved MATLAB package for approximating the solution to a continuous-time stochastic optimal control problem.
Classification:	C87 - Econometric Software ; C63 - Computational Techniques
Source:	BASE

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