Chen, Yu; Cosimano, Thomas; Himonas, Alex; Kelly, Peter - In: Computational Economics 44 (2014) 4, pp. 397-443
In this paper, an analytic approach is applied to approximate stochastic differential utility for both endowment and production economies. This utility function satisfies a second order nonlinear differential equation and is analytic near the stationary mean of the state variable. The radius of...