A Matlab Package for Approximating the Solution to a Continuous-Time Stochastic Optimal Control Problem

14 Pages Posted: 15 Mar 1998

See all articles by Alistair Windsor

Alistair Windsor

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

Jacek B. Krawczyk

Victoria University of Wellington

Abstract

Computing the solution to a stochastic optimal control problem is difficult. A method of approximating a solution to a given stochatic optimal problem 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.

JEL Classification: C63, C87

Suggested Citation

Windsor, Alistair and Krawczyk, Jacek B., A Matlab Package for Approximating the Solution to a Continuous-Time Stochastic Optimal Control Problem. Available at SSRN: https://ssrn.com/abstract=73968 or http://dx.doi.org/10.2139/ssrn.73968

Alistair Windsor (Contact Author)

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)

Jacek B. Krawczyk

Victoria University of Wellington ( email )

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

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