A Numerical Method for Solving Stochastic Optimal Control Problems with Linear Control
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DOI: 10.1007/s10614-011-9263-1
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More about this item
Keywords
Numerical stochastic optimal control; Dynamic programming; Computational economics; Investment decisions; C63;All these keywords.
JEL classification:
- C63 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Computational Techniques
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