Utility-maximizing consumption and investment strategies in closed form are unknown for realistic settings involving portfolio constraints, incomplete markets, and potentially a high number of state variables. Standard numerical methods are hard to implement in such cases. We propose a numerical...

This paper addresses the problem of finding an optimal dividend policy for a class of jump-diffusion processes. The jump component is a compound Poisson process with negative jumps, and the drift and diffusion components are assumed to satisfy some regularity and growth restrictions. Each...

Quantification of baseflow to drainage ditches is essential in understanding flow dynamics in a watershed. The mass balance estimation for a stream section may not give an accurate measure of the baseflow during low-flow periods due to the lack of accuracy in flow measurements in the flumes....

This paper investigates extensions of the method of endogenous gridpoints (ENDGM) introduced by Carroll (2006) to higher dimensions with more than one continuous endogenous state variable. We compare three different categories of algorithms: (i) the conventional method with exogenous grids...

A new algorithm is developed to solve models with heterogeneous agents and aggregate uncertainty. Projection methods are the main building blocks of the algorithm and – in contrast to the most popular solution procedure – simulations only play a very minor role. The paper also develops a new...

In this article we consider how the operator of an electric power system should activate bids on the regulating power market in order to minimize the expected operation cost. Important characteristics of the problem are reaction times of actors on the regulating market and ramp-rates for...

We propose a novel methodology for evaluating the accuracy of numerical solutions to dynamic economic models. Specifically, we construct a lower bound on the size of approximation errors. A small lower bound on errors is a necessary condition for accuracy: If a lower error bound is unacceptably...

This chapter is concerned with numerical simulation of dynamic economic models. We focus on some basic algorithms and study their accuracy and stability properties. This analysis is useful for an optimal implementation and testing of these procedures, as well as to evaluate their performance....

Mathematical model of vertical electrical sounding by using resistivity method is studied. The model leads to an inverse problem of determination of the unknown leading coefficient (conductivity) of the elliptic equation in R2 in a slab. The direct problem is obtained in the form of mixed BVP in...