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Solving Nonlinear Dynamic Stochastic Models: An Algorithm Computing Value Functions By Simulations

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Author Info
Lilia Maliar () (Universidad de Alicante)
Serguei Maliar (Universidad de Alicante)

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Abstract

This paper presents an algorithm for solving nonlinear dynamic stochastic models that computes value function by simulations. We argue that the proposed algorithm can be a useful alternative to the existing methods in some applications.

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File URL: http://www.ivie.es/downloads/docs/wpasad/wpasad-2004-37.pdf
File Format: application/pdf
File Function: Fisrt version / Primera version, 2004
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Publisher Info
Paper provided by Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie) in its series Working Papers. Serie AD with number 2004-37.

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Length: 15 pages
Date of creation: Oct 2004
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Publication status: Published by Ivie
Handle: RePEc:ivi:wpasad:2004-37

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Related research
Keywords: Nonlinear stochastic models Value function Parameterized expectations Monte Carlo simulations Numerical solutions

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Find related papers by JEL classification:
C6 - Mathematical and Quantitative Methods - - Mathematical Methods and Programming
C63 - Mathematical and Quantitative Methods - - Mathematical Methods and Programming - - - Computational Techniques
C68 - Mathematical and Quantitative Methods - - Mathematical Methods and Programming - - - Computable General Equilibrium Models

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This page was last updated on 2008-9-30.

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