Global numerical solution of stochastic optimal control problems

start of the project: 2002 , end of the project: 2004

funding institution: Center for Empirical Macroeconomics, University of Bielefeld

project members

principal investigator

Prof. Dr. Lars Grüne

aims of the project

The aims of the project are

  1. Development and analysis of global adaptive numerical algorithms for the solution of stochastic optimal control problems
  2. The application of these algorithms to economic models.

Chair -

|  University of Bayreuth -