2026-04-13T00:52:44Zhttps://recercat.cat/oai/request

oai:recercat.cat:10230/6342025-12-24T02:04:47Zcom_2072_6col_2072_452953

00925njm 22002777a 4500 dc Reiter, Michael author 2018-02-14T15:30:00Z 2018-02-14T15:30:00Z 1997-03-01 2017-07-23T02:03:44Z The paper develops a method to solve higher-dimensional stochastic control problems in continuous time. A finite difference type approximation scheme is used on a coarse grid of low discrepancy points, while the value function at intermediate points is obtained by regression. The stability properties of the method are discussed, and applications are given to test problems of up to 10 dimensions. Accurate solutions to these problems can be obtained on a personal computer. dynamic programming stochastic control approximation Microeconomics Solving higher-dimensional continuous time stochastic control problems by value function regression