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...

In this report, we outline a method for approximating a Markovian (or feedback-Nash) equilibrium of a dynamic game, possibly subject to coupled-constraints. We treat such a game as a "multiple" optimal control problem. A method for approximating a solution to a given optimal control problem via...

In this paper we carry out a preliminary exploration of a time scales’ conjecture, whichpostulates that “reasonable” notions of sustainability must include a suitable synchronisationof time scales of both the processes of human development and those of the naturalenvironment. We perform...

This paper describes a suite of MATLAB routines devised to provide an approximately optimal solution to an infinite-horizon stochastic optimal control problem. The suite is an updated version of that described in [Kra01b]. Its routines implement a policy improvement algorithm to optimise a...

We extend Krawczyk and Kim (Macroecon Dyn 13(1):46–80, <CitationRef CitationID="CR19">1999</CitationRef>) and apply a viability approach to a small-open economy where the exchange rate works as an additional monetary policy transmission channel. A continuous-time version of the model presented in Batini and Haldane (In: Monetary policy...</citationref>

Traditional means of studying environmental economics and management problems consist of optimal control and dynamic game models that are solved for optimal or equilibrium strategies. Notwithstanding the possibility of multiple equilibria, the models’ users—managers or planners—will...

Parallel MATLAB is a recent MathWorks product enabling the use of parallel computing methods on multicore personal computers. SOCSol is the generic name of a suite of MATLAB routines that can be used to obtain optimal solutions to continuous-time stochastic optimal control problems. In this...