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Solving Numerically the HJB Equation: Examples

In: Heterogeneous Agents in Asset Pricing, Vol 1

Author

Listed:
  • Hamilton Galindo Gil

    (Cleveland State University, Department of Finance and Economics
    Universidad ESAN, Graduate School of Business)

Abstract

This chapter demonstrates the application of the finite difference method, the upwind scheme, and the implicit method by solving two models: the growth model (Candler, G. V. (2001) Finite-difference methods for continuous-time dynamic programming. In R. Marimon, & A. Scott (Eds.), Computational methods for the study of dynamic economies (pp. 172–194). Oxford University Press) (Candler, 2001) and the consumption-portfolio model (Merton, Journal of Economic Theory, 3(4), 373–413 (1971)).

Suggested Citation

  • Hamilton Galindo Gil, 2025. "Solving Numerically the HJB Equation: Examples," Lecture Notes in Economics and Mathematical Systems, in: Heterogeneous Agents in Asset Pricing, Vol 1, chapter 0, pages 285-333, Springer.
    • Handle: RePEc:spr:lnechp:978-3-031-93263-2_9
    DOI: 10.1007/978-3-031-93263-2_9
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