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A simple but powerful simulated certainty equivalent approximation method for dynamic stochastic problems

Cai, Yongyang; Kenneth, L. Judd, - In: Quantitative economics : QE ; journal of the … 14 (2023) 2, pp. 651-687

We introduce a novel simulated certainty equivalent approximation (SCEQ) method for solving dynamic stochastic problems. Our examples show that SCEQ can quickly solve high-dimensional finite- or infinite-horizon, stationary or non- stationary dynamic stochastic problems with hundreds of state...

Persistent link: https://www.econbiz.de/10014308586