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Financing policies via stochastic control: a dynamic programming approach

✍ Scribed by Roy Cerqueti

Book ID
113071156
Publisher
Springer US
Year
2011
Tongue
English
Weight
292 KB
Volume
53
Category
Article
ISSN
0925-5001

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πŸ“œ SIMILAR VOLUMES

A simulation-based approach to stochasti
A simulation-based approach to stochastic dynamic programming
✍ Nicholas G. Polson; Morten Sorensen πŸ“‚ Article πŸ“… 2011 πŸ› John Wiley and Sons 🌐 English βš– 492 KB πŸ‘ 2 views

## Abstract In this paper we develop a simulation‐based approach to stochastic dynamic programming. To solve the Bellman equation we construct Monte Carlo estimates of __Q__‐values. Our method is scalable to high dimensions and works in both continuous and discrete state and decision spaces while a