Finite-Difference Methods for Continuous-Time Dynamic Programming
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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