An Approximated Solution to Continuous-Time Stochastic Optimal Control Problems Through Markov Decision Chains
Working Paper Version 9b
37 Pages Posted: 26 Feb 1998
Abstract
Strategies for constructing a Markov decision chain approximating a continuous-time finite-horizon optimal control problem are investigated. Some simple, analytically soluble, examples are treated and low computational complexity is reported. Extensions to the method and implementation are discussed. In particular, relevance of the approximated solution to a stochastic renewable resource valuation problem is examined.
JEL Classification: C8, C63, D92, C87, Q25
Suggested Citation: Suggested Citation
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