Applications of Markov chain approximation methods to optimal control problems in economics

DOI10.1016/J.JEDC.2022.104437MaRDI QIDQ2097976zbMATH OpenOpenAlexFDO

Authors Thomas Phelan, Keyvan Eslami

Publication date 17 November 2022

Published in Journal of Economic Dynamics and Control (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.jedc.2022.104437

zbMATH Keywords

dynamic programmingnumerical methodsfinancial frictionsMarkov chain approximation

Mathematics Subject Classification ID

Game theory, economics, finance, and other social and behavioral sciences (91-XX)

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Cites work

• scientific article; zbMATH DE number 1577097 (Why is no real title available?)
• scientific article; zbMATH DE number 52448 (Why is no real title available?)
• A fast algorithm for the two dimensional HJB equation of stochastic control
• Altruistically motivated transfers under uncertainty
• Consistency of Generalized Finite Difference Schemes for the Stochastic HJB Equation
• Income and wealth distribution in macroeconomics: a continuous-time approach
• Modified Policy Iteration Algorithms for Discounted Markov Decision Problems
• On the Convergence of Policy Iteration in Stationary Dynamic Programming
• Optimal stochastic control, stochastic target problems, and backward SDE.
• The method of endogenous gridpoints for solving dynamic stochastic optimization problems

Cited in

(4)

• Assessing Markov chain approximations: a minimal econometric approach
• The Markov chain approximation approach for numerical solution of stochastic control problems: experiences from Merton's problem.
• Continuous vs. discrete time: some computational insights
• Discretization of highly persistent correlated AR(1) shocks

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