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Finite-Difference Methods for Continuous-Time Dynamic Programming

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  • Graham V. Candler
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    Abstract

    This code supports the text in Graham V. Candler, Finite-Difference Methods for Continuous-Time Dynamic Programming, in Ramon Marimon and Andrew Scott (eds), Computational Methods for the Study of Dynamic Economies, Chapter 8, Oxford University Press. In economics most dynamic programming is done in discrete time, either on purpose as most economic processes are in some sense discrete or as an approximation to continuous time. In aircraft engineering Computational Fluid Dynamics is a continuous time modelling approach to "test" for instance the aerodynamics of a plane. Many of the techniques and models are almost directly applicable to economics and exactly that is done in this chapter.

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    File URL: http://dge.repec.org/codes/marimon-scott/Candler/
    File Function: program code
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    Bibliographic Info

    Software component provided by Quantitative Macroeconomics & Real Business Cycles in its series QM&RBC Codes with number 129.

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    Programming language: Fortran
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    Date of creation: 1998
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    Handle: RePEc:dge:qmrbcd:129

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