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 [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:	2006
Authors:	Azzato, Jeffrey ; Krawczyk, Jacek
Institutions:	Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München
Subject:	Computational techniques \| Economic software \| Computational methods in stochastic optimal control \| Computational economics \| Approximating Markov decision chains

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Extent:	application/pdf
Series:	MPRA Paper.
Type of publication:	Book / Working Paper
Classification:	C87 - Econometric Software ; C63 - Computational Techniques
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005619693