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Computing continuous-time growth models with boundary conditions via wavelets

  • Esteban-Bravo, Mercedes
  • Vidal-Sanz, Jose M.

This 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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Article provided by Elsevier in its journal Journal of Economic Dynamics and Control.

Volume (Year): 31 (2007)
Issue (Month): 11 (November)
Pages: 3614-3643

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Handle: RePEc:eee:dyncon:v:31:y:2007:i:11:p:3614-3643
Contact details of provider: Web page: http://www.elsevier.com/locate/jedc

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  1. 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.
  2. Swan, Trevor W, 2002. "Economic Growth," The Economic Record, The Economic Society of Australia, vol. 78(243), pages 375-80, December.
  3. Kenneth L. Judd, 1998. "Numerical Methods in Economics," MIT Press Books, The MIT Press, edition 1, volume 1, number 0262100711, June.
  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. Mercedes Esteban-Bravo, 2004. "Computing Equilibria in General Equilibrium Models via Interior-point Methods," Computational Economics, Society for Computational Economics, vol. 23(2), pages 147-171, 03.
  6. T. W. Swan, 1956. "ECONOMIC GROWTH and CAPITAL ACCUMULATION," The Economic Record, The Economic Society of Australia, vol. 32(2), pages 334-361, November.
  7. 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.
  8. Paul M Romer, 1999. "Increasing Returns and Long-Run Growth," Levine's Working Paper Archive 2232, David K. Levine.
  9. 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.
  10. Hans M. Amman & David A. Kendrick, . "Computational Economics," Online economics textbooks, SUNY-Oswego, Department of Economics, number comp1, March.
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