Solving higher-dimensional continuous-time stochastic control problems by value function regression

DOI10.1016/S0165-1889(98)00076-1zbMath0949.93080MaRDI QIDQ1960551

Michael Reiter

Publication date: 12 January 2000

Published in: Journal of Economic Dynamics \& Control (Search for Journal in Brave)

zbMATH Keywords

stochastic controlfinite difference schemecontinuous time

Mathematics Subject Classification ID

Related Items (7)

Asset pricing with dynamic programming ⋮ Using dynamic programming with adaptive grid scheme for optimal control problems in economics ⋮ Optimal time aggregation of infinite horizon control problems ⋮ A STATE‐SPACE PARTITIONING METHOD FOR PRICING HIGH‐DIMENSIONAL AMERICAN‐STYLE OPTIONS ⋮ Error estimation and adaptive discretization for the discrete stochastic Hamilton-Jacobi-Bellman equation ⋮ Adaptive spline interpolation for Hamilton-Jacobi-Bellman equations ⋮ A Discrete Time Approach for Modeling Two-Factor Mean-Reverting Stochastic Processes

Cites Work

• Projection methods for solving aggregate growth models
• Using Randomization to Break the Curse of Dimensionality
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