English, Article, Journal or magazine article edition: Solving Higher-Dimensional Continuous Time Stochastic Control Problems by Value Function Regression Michael Reiter

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Bookmark: http://trove.nla.gov.au/version/155357
Physical Description
  • preprint
Language
  • English

Edition details

Title
  • Solving Higher-Dimensional Continuous Time Stochastic Control Problems by Value Function Regression
Author
  • Michael Reiter
Physical Description
  • preprint
Notes
  • The paper develops a method to solve higher-dimensional stochastic control problems in continuous time. A finite difference type approximation scheme is used on a coarse grid of low discrepancy points, while the value function at intermediate points is obtained by regression. The stability properties of the method are discussed, and applications are given to test problems of up to 10 dimensions. Accurate solutions to these problems can be obtained on a personal computer.
  • Dynamic Programming, stochastic control, approximation
  • RePEc:upf:upfgen:299
Language
  • English
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