Discretizing nonlinear, non-Gaussian Markov processes with exact conditional moments
Year of publication: |
2017
|
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Authors: | Farmer, Leland E. ; Toda, Alexis Akira |
Published in: |
Quantitative Economics. - New Haven, CT : The Econometric Society, ISSN 1759-7331. - Vol. 8.2017, 2, p. 651-683
|
Publisher: |
New Haven, CT : The Econometric Society |
Subject: | Asset pricing models | duality | Kullback-Leibler information | numerical methods | solution accuracy |
Type of publication: | Article |
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Type of publication (narrower categories): | Article |
Language: | English |
Other identifiers: | 10.3982/QE737 [DOI] 1015515150 [GVK] hdl:10419/195551 [Handle] |
Classification: | C63 - Computational Techniques ; C68 - Computable General Equilibrium Models ; G12 - Asset Pricing |
Source: |
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