Solving Higher-Dimensional Continuous Time Stochastic Control Problems by Value Function Regression
Posted: 3 Sep 1998
Abstract
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.
JEL Classification: C61
Suggested Citation: Suggested Citation
Reiter, Michael, Solving Higher-Dimensional Continuous Time Stochastic Control Problems by Value Function Regression. Available at SSRN: https://ssrn.com/abstract=108555
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