A number of optimal decision problems with uncertainty can be formulated into a stochastic optimal control framework … control problems as analytical solutions are not tractable in general. This paper generalizes the LSMC algorithm proposed in … Shen and Weng (2017) to solve a wide class of stochastic optimal control models. Our algorithm has three pillars: a …

-dimensional discrete-time stochastic control problems under general constraints. The method employs quasi-random grids and radial basis … Finance applications: a) dynamic portfolio choice with labor income and financial constraints, a continuous control problem; b …) dynamic portfolio choice with capital gain taxation, a high-dimensional singular control problem …