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Optimal time aggregation of infinite horizon control problems

  • Alemdar, Nedim M.
  • Sirakaya, Sibel
  • Husseinov, Farhad
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    Article provided by Elsevier in its journal Journal of Economic Dynamics and Control.

    Volume (Year): 30 (2006)
    Issue (Month): 4 (April)
    Pages: 569-593

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    Handle: RePEc:eee:dyncon:v:30:y:2006:i:4:p:569-593
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    1. Kehoe, Timothy J & Levine, David K & Romer, Paul M, 1992. "On Characterizing Equilibria of Economies with Externalities and Taxes as Solutions to Optimization Problems," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 2(1), pages 43-68, January.
    2. Judd, Kenneth L., 1992. "Projection methods for solving aggregate growth models," Journal of Economic Theory, Elsevier, vol. 58(2), pages 410-452, December.
    3. Lucas, Robert Jr., 1988. "On the mechanics of economic development," Journal of Monetary Economics, Elsevier, vol. 22(1), pages 3-42, July.
    4. 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.
    5. Mercenier, J. & Michel, P., 1995. "Temporal Aggregation in a Multi-Sector Economy with Endogenous Growth," Cahiers de recherche 9540, Universite de Montreal, Departement de sciences economiques.
    6. Mercenier, J. & Michel, P., 1991. "A Criterion For Time Aggregation Intertemporal Dynamic Models," Cahiers de recherche 9108, Centre interuniversitaire de recherche en ├ęconomie quantitative, CIREQ.
    7. Lars Grune & Willi Semmler, 2003. "Solving Asset Pricing Models with Stochastic Dynamic Programming," Computing in Economics and Finance 2003 54, Society for Computational Economics.
    8. Alemdar, Nedim M. & Sirakaya, Sibel, 2003. "On-line computation of Stackelberg equilibria with synchronous parallel genetic algorithms," Journal of Economic Dynamics and Control, Elsevier, vol. 27(8), pages 1503-1515, June.
    9. Tauchen, George & Hussey, Robert, 1991. "Quadrature-Based Methods for Obtaining Approximate Solutions to Nonlinear Asset Pricing Models," Econometrica, Econometric Society, vol. 59(2), pages 371-96, March.
    10. Rust, J., 1994. "Using Randomization to Break the Curse of Dimensionality," Working papers 9429, Wisconsin Madison - Social Systems.
    11. Mercenier, Jean & Michel, Philippe, 1994. "Discrete-Time Finite Horizon Appromixation of Infinite Horizon Optimization Problems with Steady-State Invariance," Econometrica, Econometric Society, vol. 62(3), pages 635-56, May.
    12. Judd, Kenneth L., 1996. "Approximation, perturbation, and projection methods in economic analysis," Handbook of Computational Economics, in: H. M. Amman & D. A. Kendrick & J. Rust (ed.), Handbook of Computational Economics, edition 1, volume 1, chapter 12, pages 509-585 Elsevier.
    13. Alemdar, Nedim M. & Ozyildirim, Suheyla, 1998. "A genetic game of trade, growth and externalities," Journal of Economic Dynamics and Control, Elsevier, vol. 22(6), pages 811-832, June.
    14. Flam, Sjur D & Wets, Roger J-B, 1987. "Existence Results and Finite Horizon Approximates for Infinite Horizon Optimization Problems," Econometrica, Econometric Society, vol. 55(5), pages 1187-1209, September.
    15. Jermann, Urban J., 1998. "Asset pricing in production economies," Journal of Monetary Economics, Elsevier, vol. 41(2), pages 257-275, April.
    16. Michael Reiter, 1997. "Solving higher-dimensional continuous time stochastic control problems by value function regression," Economics Working Papers 299, Department of Economics and Business, Universitat Pompeu Fabra, revised Jun 1998.
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