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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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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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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Approximation methods in optimal control problems for nonlinear infinite-dimensional systems

Mathematical Notes ◽

10.1134/s0001434613090277 ◽

2013 ◽

Vol 94 (3-4) ◽

pp. 567-582

Author(s):

S. Ya. Serovaiskii

Keyword(s):

Optimal Control ◽

Optimal Control Problems ◽

Control Problems ◽

Approximation Methods ◽

Infinite Dimensional ◽

Infinite Dimensional Systems

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Markov chain approximation methods in a class of level-crossing problems

Operations Research Letters ◽

10.1016/s0167-6377(97)00033-3 ◽

1997 ◽

Vol 21 (3) ◽

pp. 153-158 ◽

Author(s):

Irwin Greenberg

Keyword(s):

Markov Chain ◽

Approximation Methods ◽

Level Crossing ◽

Markov Chain Approximation ◽

Chain Approximation

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Convergence rates of Markov chain approximation methods for controlled diffusions with stopping

Journal of Systems Science and Complexity ◽

10.1007/s11424-010-0148-5 ◽

2010 ◽

Vol 23 (3) ◽

pp. 600-621 ◽

Author(s):

Qingshuo Song ◽

Gang George Yin

Keyword(s):

Markov Chain ◽

Convergence Rates ◽

Approximation Methods ◽

Markov Chain Approximation ◽

Controlled Diffusions ◽

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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Approximation Methods for Nonconvex Parabolic Optimal Control Problems Using Relaxed Controls

Large-Scale Scientific Computing - Lecture Notes in Computer Science ◽

10.1007/978-3-540-24588-9_23 ◽

2004 ◽

pp. 214-221

Author(s):

Ion Chryssoverghi

Keyword(s):

Optimal Control ◽

Optimal Control Problems ◽

Control Problems ◽

Approximation Methods ◽

Relaxed Controls ◽

Parabolic Optimal Control

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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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Approximation methods for solving fractional optimal control problems

Computational and Applied Mathematics ◽

10.1007/s40314-017-0424-2 ◽

2017 ◽

Vol 37 (S1) ◽

pp. 158-182 ◽

Author(s):

Samaneh Soradi Zeid ◽

Sohrab Effati ◽

Ali Vahidian Kamyad

Keyword(s):

Optimal Control ◽

Optimal Control Problems ◽

Control Problems ◽

Approximation Methods ◽

Fractional Optimal Control ◽

Fractional Optimal Control Problems

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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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