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A Probabilistic Solution to High-Dimensional Continuous-Time Macro and Finance Models

Huang, Ji - 2023

This paper introduces the probabilistic formulation of continuous-time economic models: forward stochastic differential …

Persistent link: https://www.econbiz.de/10014345557

Dynamic Ic and Dynamic Programming

Kwon, Suehyun - 2019

This paper develops a dynamic programming method when the one-stage deviation principle in the sense of mechanism design literature doesn’t hold. The commonly used dynamic programming method is valid only if the one-stage deviation principle in the sense of mechanism design literature is...

Persistent link: https://www.econbiz.de/10012889686

Exploiting Symmetry in High-Dimensional Dynamic Programming

Kahou, Mahdi Ebrahimi; Fernández-Villaverde, Jesús; … - 2021

We propose a new method for solving high-dimensional dynamic programming problems and recursive competitive equilibria with a large (but finite) number of heterogeneous agents using deep learning. The „curse of dimensionality“ is avoided due to four complementary techniques: (1) exploiting...

Persistent link: https://www.econbiz.de/10013221172

Optimal Epidemic Suppression Under an ICU Constraint

Miclo, Laurent - 2020

How much and when should we limit economic and social activity to ensure that the health-care system is not overwhelmed during an epidemic? We study a setting where ICU resources are constrained while suppression is costly (e.g., limiting economic interaction). Providing a fully analytical...

Persistent link: https://www.econbiz.de/10012833733

Is There News in Inventories?

Görtz, Christoph - 2020

We identify total factor productivity (TFP) news shocks using standard VAR methodology and document a new stylized fact: in response to news about future increases in TFP, inventories rise and comove positively with other major macroeconomic aggregates. We show that the standard theoretical...

Persistent link: https://www.econbiz.de/10012834348

A tale of two debt crises: a stochastic optimal control analysis

Stein, Jerome L. - 2008

literature of stochastic optimal control/dynamic programming to derive an optimal debt in an environment where there are risks on …

Persistent link: https://www.econbiz.de/10010264305

Stochastic Contracts and Subjective Evaluations

Lang, Matthias - 2021

stochastic contracts, like uncertain arbitration procedures or payments in stock options. These contracts incentivize employees … without the need for payments to third parties. In addition, stochastic contracts can make the principal better off compared … to deterministic contracts. My results also address the puzzle about the prevalence of labor contracts with stochastic …

Persistent link: https://www.econbiz.de/10013311715

Optimization Over Graphs

Kwon, Suehyun - 2019

This paper defines isomorphism for network formation that is not mathematically isomorphic. Once the pattern of network formation is characterized, one can test for (i) location fixed effects, (ii) heterogeneity, (iii) private information allowing for long-term contracts. The paper provides...

Persistent link: https://www.econbiz.de/10012892085

Dynamic Programming on a Quantum Annealer : Solving the RBC Model

Fernández-Villaverde, Jesús; Hull, Isaiah - 2023

quantum annealer, a specialized device that performs combinatorial optimization. Quantum annealers attempt to solve an NP …

Persistent link: https://www.econbiz.de/10014347831

Optimal debt and equilibrium exchange rates in a stochastic environment : an overview

Stein, Jerome L. - 2004

the return on investment and the real rate of interest are stochastic variables. These theoretically based measures are … Early Warning Signals. One is the NATREX model to estimate the equilibrium real exchange rate. The second is stochastic …

Persistent link: https://www.econbiz.de/10010261108