A nonlinear certainty equivalent approximation method for dynamic stochastic problems

DOI10.3982/QE533zbMATH Open1395.91303MaRDI QIDQ4586304FDOQ4586304

Authors: Yongyang Cai, Kenneth L. Judd, Jevgenijs Steinbuks 

Publication date: 12 September 2018

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

Recommendations

• A new algorithm for solving dynamic stochastic macroeconomic models
• TAYLOR PROJECTION: A NEW SOLUTION METHOD FOR DYNAMIC GENERAL EQUILIBRIUM MODELS
• Quadrature-Based Methods for Obtaining Approximate Solutions to Nonlinear Asset Pricing Models
• Discretizing nonlinear, non-Gaussian Markov processes with exact conditional moments
• A recursive forward simulation method for solving nonlinear rational expectations models

zbMATH Keywords

competitive equilibriumparallel computingreal business cycle modelsparse grid approximationnew Keynesian DSGE model

Mathematics Subject Classification ID

Macroeconomic theory (monetary models, models of taxation) (91B64) Software, source code, etc. for problems pertaining to game theory, economics, and finance (91-04) Dynamic stochastic general equilibrium theory (91B51)

Cited In (3)

• Using a hyperbolic cross to solve non-linear macroeconomic models
• A simple but powerful simulated certainty equivalent approximation method for dynamic stochastic problems
• Solving nonlinear dynamic stochastic models: an algorithm computing value function by simulations

This page was built for publication: A nonlinear certainty equivalent approximation method for dynamic stochastic problems

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q4586304)