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.
Download InfoIf you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
Bibliographic InfoPaper provided by Universidad Carlos III, Departamento de Economía de la Empresa in its series Business Economics Working Papers with number wb045619.
Date of creation: Nov 2004
Date of revision:
Other versions of this item:
- Esteban-Bravo, Mercedes & Vidal-Sanz, Jose M., 2007. "Computing continuous-time growth models with boundary conditions via wavelets," Journal of Economic Dynamics and Control, Elsevier, vol. 31(11), pages 3614-3643, November.
- Esteban Bravo, Mercedes & Vidal-Sanz, Jose M., 2007. "Computing continuous-time growth models with boundary conditions via wavelets," Open Access publications from Universidad Carlos III de Madrid info:hdl:10016/7345, Universidad Carlos III de Madrid.
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.:
- Romer, Paul M, 1986.
"Increasing Returns and Long-run Growth,"
Journal of Political Economy,
University of Chicago Press, vol. 94(5), pages 1002-37, October.
- Mercedes Esteban-Bravo, 2004.
"Computing Equilibria in General Equilibrium Models via Interior-point Methods,"
Society for Computational Economics, vol. 23(2), pages 147-171, 03.
- Esteban Bravo, Mercedes, 2004. "Computing equilibria in general equilibrium models via interior-point method," Open Access publications from Universidad Carlos III de Madrid info:hdl:10016/7319, Universidad Carlos III de Madrid.
- Santos, Manuel S., 1999. "Numerical solution of dynamic economic models," Handbook of Macroeconomics, in: J. B. Taylor & M. Woodford (ed.), Handbook of Macroeconomics, edition 1, volume 1, chapter 5, pages 311-386 Elsevier.
- Kenneth L. Judd, 1998. "Numerical Methods in Economics," MIT Press Books, The MIT Press, edition 1, volume 1, number 0262100711, June.
- Goffe, William L, 1993. "A User's Guide to the Numerical Solution of Two-Point Boundary Value Problems Arising in Continuous Time Dynamic Economic Models," Computational Economics, Society for Computational Economics, vol. 6(3-4), pages 249-55, November.
- Hans M. Amman & David A. Kendrick, . "Computational Economics," Online economics textbooks, SUNY-Oswego, Department of Economics, number comp1, March Cit.
- Rust, John, 1996. "Numerical dynamic programming in economics," Handbook of Computational Economics, in: H. M. Amman & D. A. Kendrick & J. Rust (ed.), Handbook of Computational Economics, edition 1, volume 1, chapter 14, pages 619-729 Elsevier.
- T. W. Swan, 1956. "ECONOMIC GROWTH and CAPITAL ACCUMULATION," The Economic Record, The Economic Society of Australia, vol. 32(2), pages 334-361, November.
- Nualart, David & Pardoux, Etienne, 1991. "Second order stochastic differential equations with Dirichlet boundary conditions," Stochastic Processes and their Applications, Elsevier, vol. 39(1), pages 1-24, October.
- Swan, Trevor W, 2002. "Economic Growth," The Economic Record, The Economic Society of Australia, vol. 78(243), pages 375-80, December.
- 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.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: ().
If references are entirely missing, you can add them using this form.