SOLVING NONLINEAR DYNAMIC STOCHASTIC MODELS: AN ALGORITHM COMPUTING VALUE FUNCTIONS BY SIMULATIONS

This paper presents an algorithm for solving nonlinear dynamic stochastic models that computes value function by simulations. We argue that the proposed algorithm can be a useful alternative to the existing methods in some applications.

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Year of publication:	2004-10
Authors:	Maliar, Lilia ; Maliar, Serguei
Institutions:	Instituto Valenciano de Investigaciones Económicas (IVIE)
Subject:	Nonlinear stochastic models \| Value function \| Parameterized expectations \| Monte Carlo simulations \| Numerical solutions

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Extent:	application/pdf
Series:	Working Papers. Serie AD.
Type of publication:	Book / Working Paper
Language:	English
Notes:	Published by Ivie 15 pages
Classification:	C6 - Mathematical Methods and Programming ; C63 - Computational Techniques ; C68 - Computable General Equilibrium Models
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005515901