Solving nonlinear dynamic stochastic models: an algorithm computing value function by simulations
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Publication:1927795
DOI10.1016/j.econlet.2004.10.009zbMath1254.90002OpenAlexW2014437137MaRDI QIDQ1927795
Publication date: 2 January 2013
Published in: Economics Letters (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.econlet.2004.10.009
Monte Carlo simulationsvalue functionnumerical solutionsnonlinear stochastic modelsparameterized expectations
Monte Carlo methods (65C05) Stochastic programming (90C15) Software, source code, etc. for problems pertaining to operations research and mathematical programming (90-04)
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