The method of endogenous gridpoints for solving dynamic stochastic optimization problems

This paper introduces a method for solving numerical dynamic stochastic optimization problems that avoids rootfinding operations. The idea is applicable to many microeconomic and macroeconomic problems, including life cycle, buffer-stock, and stochastic growth problems. Software is provided.

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Year of publication:	2005
Authors:	Carroll, Christopher D.
Publisher:	Frankfurt a. M. : Goethe University Frankfurt, Center for Financial Studies (CFS)
Subject:	Stochastischer Prozess \| Mathematische Optimierung \| Theorie \| Dynamic optimization \| precautionary saving \| stochastic growth model \| endogenous gridpoints \| liquidity constraints

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Series:	CFS Working Paper ; 2005/18
Type of publication:	Book / Working Paper
Type of publication (narrower categories):	Working Paper
Language:	English
Other identifiers:	515323896 [GVK] hdl:10419/25458 [Handle] RePEc:zbw:cfswop:200518 [RePEc]
Classification:	C6 - Mathematical Methods and Programming ; D9 - Intertemporal Choice and Growth ; E2 - Consumption, Saving, Production, Employment, and Investment
Source:	EconStor

Persistent link: https://www.econbiz.de/10010298306