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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 …
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-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 …
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In this paper we provide a unified methodology for conducting likelihood-based inference on the unknown parameters of a general class of discrete-time stochastic volatility (SV) models, characterized by both a leverage effect and jumps in returns. Given the nonlinear/non-Gaussian state-space...
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This paper is concerned with near-optimal control of manufacturing systems consisting of two unreliable machines in …
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