Abstract
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.
| Original language | English (US) |
|---|---|
| Pages (from-to) | 1329-1353 |
| Number of pages | 25 |
| Journal | Journal of Economic Dynamics and Control |
| Volume | 23 |
| Issue number | 9-10 |
| DOIs | |
| State | Published - Sep 1999 |
Keywords
- Approximation
- Dynamic programming
- Stochastic control
ASJC Scopus subject areas
- Economics and Econometrics
- Control and Optimization
- Applied Mathematics