The state equations methods for stochastic control problems
文献类型：期刊论文
| 作者 | Wang, Lijin1,2; Bai, Fengshan1 |
| 刊名 | Numerical mathematics-theory methods and applications
 |
| 出版日期 | 2010-02-01 |
| 卷号 | 3期号:1页码:79-96 |
| 关键词 | Stochastic optimal control Markov chain approximation Euler-maruyama discretisation Midpoint rule Predictor-corrector methods Portfolio management |
| ISSN号 | 1004-8979 |
| DOI | 10.4208/nmtma.2009.m99006 |
| 通讯作者 | Wang, lijin(laecheln@126.com) |
| 英文摘要 | The state equations of stochastic control problems, which are controlled stochastic differential equations, are proposed to be discretized by the weak midpoint rule and predictor-corrector methods for the markov chain approximation approach. local consistency of the methods are proved. numerical tests on a simplified merton's portfolio model show better simulation to feedback control rules by these two methods, as compared with the weak euler-maruyama discretisation used by krawczyk. this suggests a new approach of improving accuracy of approximating markov chains for stochastic control problems. |
| WOS研究方向 | Mathematics |
| WOS类目 | Mathematics, Applied ; Mathematics |
| 语种 | 英语 |
| WOS记录号 | WOS:000275103600005 |
| 出版者 | GLOBAL SCIENCE PRESS |
| URI标识 | http://www.irgrid.ac.cn/handle/1471x/2415518 |
| 专题 | 中国科学院大学 |
| 通讯作者 | Wang, Lijin |
| 作者单位 | 1.Tsinghua Univ, Dept Math Sci, Beijing 100084, Peoples R China 2.Chinese Acad Sci, Sch Math Sci, Grad Univ, Beijing 100049, Peoples R China |
| 推荐引用方式 GB/T 7714 | Wang, Lijin,Bai, Fengshan. The state equations methods for stochastic control problems[J]. Numerical mathematics-theory methods and applications,2010,3(1):79-96. |
| APA | Wang, Lijin,&Bai, Fengshan.(2010).The state equations methods for stochastic control problems.Numerical mathematics-theory methods and applications,3(1),79-96. |
| MLA | Wang, Lijin,et al."The state equations methods for stochastic control problems".Numerical mathematics-theory methods and applications 3.1(2010):79-96. |
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来源：中国科学院大学
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