Computing continuous-time growth models with boundary conditions via wavelets
AbstractThis paper presents an algorithm for approximating the solution of deterministic/stochastic continuous-time growth models based on the Euler's equation and the transversality conditions. The main issue for computing these models is to deal efficiently with the boundary conditions associated. This approach is a wavelets-collocation method derived from the finite-iterative trapezoidal approach. Illustrative examples are given.
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Bibliographic InfoArticle provided by Elsevier in its journal Journal of Economic Dynamics and Control.
Volume (Year): 31 (2007)
Issue (Month): 11 (November)
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Web page: http://www.elsevier.com/locate/jedc
Other versions of this item:
- Mercedes Esteban-Bravo & Jose M. Vidal-Sanz, 2004. "Computing Continuous-Time Growth Models With Boundary Conditions Via Wavelets," Business Economics Working Papers wb045619, Universidad Carlos III, Departamento de Economía de la Empresa.
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
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- Haven, Emmanuel & Liu, Xiaoquan & Ma, Chenghu & Shen, Liya, 2009. "Revealing the implied risk-neutral MGF from options: The wavelet method," Journal of Economic Dynamics and Control, Elsevier, vol. 33(3), pages 692-709, March.
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