Azzato, Jeffrey and Krawczyk, Jacek (2006): SOCSol4L An improved MATLAB package for approximating the solution to a continuoustime stochastic optimal control problem.
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Abstract
Computing the solution to a stochastic optimal control problem is difficult. A method of approximating a solution to a given stochastic optimal control problem using Markov chains was developed in [1]. This paper describes a suite of MATLAB functions implementing this method of approximating a solution to a given continuous stochastic optimal control problem.
Item Type:  MPRA Paper 

Institution:  Victoria University of Wellington 
Original Title:  SOCSol4L An improved MATLAB package for approximating the solution to a continuoustime stochastic optimal control problem 
Language:  English 
Keywords:  Computational techniques; Economic software; Computational methods in stochastic optimal control; Computational economics; Approximating Markov decision chains 
Subjects:  C  Mathematical and Quantitative Methods > C8  Data Collection and Data Estimation Methodology; Computer Programs > C87  Econometric Software C  Mathematical and Quantitative Methods > C6  Mathematical Methods; Programming Models; Mathematical and Simulation Modeling > C63  Computational Techniques; Simulation Modeling 
Item ID:  1179 
Depositing User:  Jeffrey Azzato 
Date Deposited:  15. Dec 2006 
Last Modified:  22. Feb 2013 21:25 
References:  Krawczyk J.B., 2001, "A Markovian Approximated Solution to a Portfolio Management Problem", Information Technology for Economics and Management, Vol. 1, No. 1. Available at: http://www.item.woiz.polsl.pl/issue/journal1.htm on 20061214. Krawczyk J.B. & Windsor A., 1997, "An Approximated Solution to ContinuousTime Stochastic Optimal Control Problems Through Markov Decision Chains", Research Papers in Economics, [RePEc: wpa:wuwpco:9710001]. Krawczyk J.B., 2005, "Numerical Solutions to LumpSum Pension Fund Problems that Can Yield LeftSkewed Fund Return Distributions". In: C. Deissenberg and R.F. Hartl (eds.), Optimal Control and Dynamic Games, Springer, pp. 155176. 1992, "MATLAB. HighPerformance Numeric Computation and Visualization Software", The MathWorks Inc. 
URI:  http://mpra.ub.unimuenchen.de/id/eprint/1179 
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