Dorofeenko, Victor; Lee, Gabriel S.; Salyer, Kevin D. - Institut für Immobilienwirtschaft <Regensburg> - 2010
This paper introduces a new algorithm, the recursive upwind Gauss–Seidel method, andapplies it to solve a standard stochastic growth model in which the technology shocksexhibit heteroskedasticity. This method exploits the fact that the equations definingequilibrium can be viewed as a set of...