An Approximated Solution to Continuous-Time Stochastic Optimal Control Problems Through Markov Decision Chains

Working Paper Version 9b

37 Pages Posted: 26 Feb 1998

See all articles by Jacek B. Krawczyk

Jacek B. Krawczyk

Victoria University of Wellington

Alistair Windsor

Pennsylvania State University - Department of Mathematics; Victoria University of Wellington

Abstract

Strategies for constructing a Markov decision chain approximating a continuous-time finite-horizon optimal control problem are investigated. Some simple, analytically soluble, examples are treated and low computational complexity is reported. Extensions to the method and implementation are discussed. In particular, relevance of the approximated solution to a stochastic renewable resource valuation problem is examined.

JEL Classification: C8, C63, D92, C87, Q25

Suggested Citation

Krawczyk, Jacek B. and Windsor, Alistair, An Approximated Solution to Continuous-Time Stochastic Optimal Control Problems Through Markov Decision Chains . Working Paper Version 9b, Available at SSRN: https://ssrn.com/abstract=61170 or http://dx.doi.org/10.2139/ssrn.61170

Jacek B. Krawczyk (Contact Author)

Victoria University of Wellington ( email )

P.O. Box 600
Wellington 6001
New Zealand
+64-4-4721000 x 8553 (Phone)
+64-4-4955014 (Fax)

Alistair Windsor

Pennsylvania State University - Department of Mathematics ( email )

University Park
State College, PA 16802
United States
814-863-9675 (Phone)
814-865-3735 (Fax)

Victoria University of Wellington ( email )

Faculty of Science
Wellington
NEW ZEALAND
+64 4 495 5274 (Phone)
+64 4 495 5118 (Fax)

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