Discretizing nonlinear, non-Gaussian Markov processes with exact conditional moments

DOI10.3982/QE737MaRDI QIDQ4586259zbMATH OpenOpenAlexFDO

Authors Leland E. Farmer, Alexis Akira Toda

Publication date 12 September 2018

Published in Quantitative Economics (Search for Journal in Brave)

Copyright license Creative Commons Attribution-NonCommercial 4.0 International

Full work available at URL https://doi.org/10.3982/qe737

zbMATH Keywords

asset pricing modelsdualityKullback-Leibler informationnumerical methodssolution accuracy

Mathematics Subject Classification ID

Applications of Markov chains and discrete-time Markov processes on general state spaces (social mobility, learning theory, industrial processes, etc.) (60J20) Software, source code, etc. for problems pertaining to game theory, economics, and finance (91-04)

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Cited in

(10)

• Huggett economies with multiple stationary equilibria
• A note on the accuracy of Markov-chain approximations to highly persistent AR(1) processes
• Dynamic programming with state-dependent discounting
• Efficient VAR discretization
• Quadrature-Based Methods for Obtaining Approximate Solutions to Nonlinear Asset Pricing Models
• A nonlinear certainty equivalent approximation method for dynamic stochastic problems
• Dynamic Bayesian ratemaking: a Markov chain approximation approach
• Discrete approximations of continuous probability distributions obtained by minimizing Cramér-von Mises-type distances
• Tuning parameter-free nonparametric density estimation from tabulated summary data
• Discretization of highly persistent correlated AR(1) shocks

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