Multidimensional endogenous gridpoint method: solving triangular dynamic stochastic optimization problems without root-finding operations

DOI10.1016/J.ECONLET.2015.07.033zbMATH Open1394.90550OpenAlexW2232802418MaRDI QIDQ1663961FDOQ1663961

Authors: Fedor Iskhakov 

Publication date: 24 August 2018

Published in: Economics Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.econlet.2015.07.033

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zbMATH Keywords

dynamic structural modelsendogenous grid methodmultidimensional continuous choice

Mathematics Subject Classification ID

Dynamic programming (90C39) Stochastic programming (90C15) Numerical solutions to stochastic differential and integral equations (65C30)

Cites Work

• Title not available (Why is that?)
• Title not available (Why is that?)
• Approximate Dynamic Programming
• A generalization of the endogenous grid method
• The method of endogenous gridpoints for solving dynamic stochastic optimization problems
• The method of endogenous gridpoints with occasionally binding constraints among endogenous variables

Cited In (9)

• The endogenous grid method for discrete-continuous dynamic choice models with (or without) taste shocks
• Monotonicity of savings function in endogenous gridpoint method with stochastic portfolio returns
• A general endogenous grid method for multi-dimensional models with non-convexities and constraints
• The method of endogenous gridpoints in theory and practice
• Effects of taxes and safety net pensions on life-cycle labor supply, savings and human capital: the case of Australia
• Corrigendum to ``Multidimensional endogenous gridpoint method: solving triangular dynamic stochastic optimization problems without root-finding operations
• The method of endogenous gridpoints for solving dynamic stochastic optimization problems
• Multigrid techniques in economics
• Solving dynamic portfolio choice models in discrete time using spatially adaptive sparse grids

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