The Markov chain approximation approach for numerical solution of stochastic control problems: experiences from Merton's problem.

DOI10.1016/S0096-3003(02)00016-4zbMath1052.93061MaRDI QIDQ1856015

Claus Munk

Publication date: 28 January 2003

Published in: Applied Mathematics and Computation (Search for Journal in Brave)

zbMATH Keywords

Richardson extrapolationMarkov chain approximationMerton's consumption/investment problem

Mathematics Subject Classification ID

Computational methods in Markov chains (60J22) Optimal stochastic control (93E20) Numerical analysis or methods applied to Markov chains (65C40) Consumer behavior, demand theory (91B42) Portfolio theory (91G10)

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Cites Work

• Optimum consumption and portfolio rules in a continuous-time model
• Probability methods for approximations in stochastic control and for elliptic equations
• Estimation of convergence orders in repeated Richardson extrapolation
• Computational aspects in applied stochastic control
• Numerical Methods for an Optimal Investment-Consumption Model
• Numerical Methods for Stochastic Control Problems in Continuous Time
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