Paper #299

Título:

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

Autor:

Michael Reiter

Data:

Marzo 1997

Resumen:

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.

Palabras clave:

Dynamic Programming, stochastic control, approximation

Códigos JEL:

C61

Área de investigación:

Microeconomía

Publicado en:

Journal of Economic Dynamics and Control, 23, (1999), pp. 1329-53

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