Today, we went through my …

  • Today, we went through my note and its applications to numerical solution of the Bellman equation.

  • My note has broken links to the Darling and Arouba et al. articles. The note will probably be updated (for other reasons too), but the references are available in the undervisningsmateriale subfolder to these course pages.

  • For next time: We will consider numerical procedures for optimal stopping in discrete time, based on the Darling article. We will -- probably -- also discuss an algorithm for continuous time; although the concepts are not introduced yet, it involves reduction to discrete time. A few book pages (of which the last one will include the algorithm itself) will be available in the "undervisningsmateriale" folder very soon.

Published Feb. 24, 2010 3:25 PM - Last modified May 21, 2010 12:56 AM