On the Numerical Solution of Mertonian Control Problems: A Survey of the Markov Chain Approximation Method for the Working Economist

Computational Economics ◽

10.1007/s10614-018-9865-y ◽

2018 ◽

Vol 54 (3) ◽

pp. 1179-1211

Author(s):

Simon Ellersgaard

Keyword(s):

Markov Chain ◽

Numerical Solution ◽

Approximation Method ◽

Control Problems ◽

Markov Chain Approximation ◽

Chain Approximation

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The Markov chain approximation approach for numerical solution of stochastic control problems: experiences from Merton’s problem

Applied Mathematics and Computation ◽

10.1016/s0096-3003(02)00016-4 ◽

2003 ◽

Vol 136 (1) ◽

pp. 47-77 ◽

Author(s):

Claus Munk

Keyword(s):

Markov Chain ◽

Numerical Solution ◽

Stochastic Control ◽

Control Problems ◽

Stochastic Control Problems ◽

Approximation Approach ◽

Markov Chain Approximation ◽

Chain Approximation ◽

Merton's Problem

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Applications of Markov Chain Approximation Methods to Optimal Control Problems in Economics

SSRN Electronic Journal ◽

10.2139/ssrn.3783464 ◽

2021 ◽

Author(s):

Thomas Phelan ◽

Keyvan Eslami

Keyword(s):

Optimal Control ◽

Markov Chain ◽

Optimal Control Problems ◽

Control Problems ◽

Approximation Methods ◽

Markov Chain Approximation ◽

Chain Approximation

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Addendum to "A sparse Markov chain approximation of LQ-type stochastic control problems"

Mathematical Control & Related Fields ◽

10.3934/mcrf.2017023 ◽

2017 ◽

Vol 7 (4) ◽

pp. 623-623

Author(s):

Ralf Banisch ◽

◽

Carsten Hartmann ◽

Keyword(s):

Markov Chain ◽

Stochastic Control ◽

Control Problems ◽

Stochastic Control Problems ◽

Markov Chain Approximation ◽

Chain Approximation

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On a Markov chain approximation method for option pricing with regime switching

Journal of Industrial and Management Optimization ◽

10.3934/jimo.2016.12.529 ◽

2015 ◽

Vol 12 (2) ◽

pp. 529-541

Author(s):

Rongming Wang ◽

Tak Kuen Siu ◽

Yang Shen ◽

Kun Fan

Keyword(s):

Markov Chain ◽

Option Pricing ◽

Approximation Method ◽

Regime Switching ◽

Markov Chain Approximation ◽

Chain Approximation

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The Markov Chain Approximation Method: Introduction

Numerical Methods for Stochastic Control Problems in Continuous Time - Stochastic Modelling and Applied Probability ◽

10.1007/978-1-4613-0007-6_5 ◽

2001 ◽

pp. 67-88

Author(s):

Harold J. Kushner ◽

Paul Dupuis

Keyword(s):

Markov Chain ◽

Approximation Method ◽

Markov Chain Approximation ◽

Chain Approximation

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A sparse Markov chain approximation of LQ-type stochastic control problems

Mathematical Control and Related Fields ◽

10.3934/mcrf.2016007 ◽

2016 ◽

Vol 6 (3) ◽

pp. 363-389 ◽

Author(s):

Ralf Banisch ◽

Carsten Hartmann

Keyword(s):

Markov Chain ◽

Stochastic Control ◽

Control Problems ◽

Stochastic Control Problems ◽

Markov Chain Approximation ◽

Chain Approximation

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Finite difference methods and Markov chain approximation to a class of robust control problems

Proceedings of 1995 34th IEEE Conference on Decision and Control ◽

10.1109/cdc.1995.479007 ◽

2002 ◽

Author(s):

G. Yin ◽

S. Miao ◽

Q. Zhang

Keyword(s):

Markov Chain ◽

Robust Control ◽

Finite Difference ◽

Finite Difference Methods ◽

Control Problems ◽

Markov Chain Approximation ◽

Difference Methods ◽

Chain Approximation

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The Markov Chain Approximation Method: Introduction

Numerical Methods for Stochastic Control Problems in Continuous Time ◽

10.1007/978-1-4684-0441-8_5 ◽

1992 ◽

pp. 67-88

Author(s):

Harold J. Kushner ◽

Paul G. Dupuis

Keyword(s):

Markov Chain ◽

Approximation Method ◽

Markov Chain Approximation ◽

Chain Approximation

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A Numerical Scheme for a Mean Field Game in Some Queueing Systems Based on Markov Chain Approximation Method

SIAM Journal on Control and Optimization ◽

10.1137/17m1154357 ◽

2018 ◽

Vol 56 (6) ◽

pp. 4017-4044 ◽

Author(s):

Erhan Bayraktar ◽

Amarjit Budhiraja ◽

Asaf Cohen

Keyword(s):

Markov Chain ◽

Approximation Method ◽

Numerical Scheme ◽

Queueing Systems ◽

Mean Field Game ◽

Markov Chain Approximation ◽

Chain Approximation

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Numerical Methods for Non-Zero-Sum Stochastic Differential Games: Convergence of the Markov Chain Approximation Method

Topics in Stochastic Analysis and Nonparametric Estimation - The IMA Volumes in Mathematics and its Applications ◽

10.1007/978-0-387-75111-5_4 ◽

2008 ◽

pp. 51-84

Author(s):

Harold J. Kushner

Keyword(s):

Markov Chain ◽

Numerical Methods ◽

Differential Games ◽

Approximation Method ◽

Stochastic Differential Games ◽

Markov Chain Approximation ◽

Chain Approximation ◽

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