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WP 2104r Applications of Markov Chain Approximation Methods To Optimal Control Problems in Economics by borisdoua14 is a document available to read on EtoBox.
What is WP 2104r Applications of Markov Chain Approximation Methods To Optimal Control Problems in Economics about?
This working paper by Thomas M. Phelan and Keyvan Eslami explores the application of Markov Chain Approximation (MCA) methods to solve continuous-time optimal control problems in economics, highlighting its advantages over traditional finite-difference methods. The authors demonstrate that MCA can significantly enhance convergence speed in solving income fluctuation problems and provide various chain constructions for portfolio problems with correlated state variables. The paper emphasizes the flexibility o
- Author
- borisdoua14
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- EN