Solving nonlinear dynamic stochastic models: An algorithm computing value function by simulations     Nonlinear stochastic models  Value function  Parameterized expectations  Monte Carlo simulations  Numerical solutions       font style='font-size:12px;'> 2015/7/21

This paper presents an algorithm for solving nonlinear dynamic stochastic models that computes value function by simulations. We argue that the proposed algorithm can be a useful alternative to the ex...

存档文本 存档附件 原文地址 文献传递

Smolyak method for solving dynamic economic models: Lagrange interpolation, anisotropic grid and adaptive domain     Smolyak method  Sparse grid  Adaptive domain  Projection  Anisotropic grid  High-dimensional problem       font style='font-size:12px;'> 2015/7/21

We show how to enhance the performance of a Smolyak method for solving dynamic economic models. First, we propose a more efficient implementation of the Smolyak method for interpolation, namely, we s...

存档文本 存档附件 原文地址 文献传递