We study a class of infinite-horizon nonlinear dynamic economic models in which preferences, technology and laws of motion for exogenous variables can change over time either deterministically or stochastically, according to a Markov process with time-varying transition probabilities, or both....

We study a class of infinite-horizon nonlinear dynamic economic models in which preferences, technology and laws of motion for exogenous variables can change over time either deterministically or stochastically, according to a Markov process with time-varying transition probabilities, or both....

We introduce a deep learning classification (DLC) method for analyzing equilibrium in discrete-continuos choice dynamic models. As an illustration, we apply the DLC method to solve a version of Krusell and Smith's (1998) heterogeneous-agent model with incomplete markets, borrowing constraint and...

Heterogeneous-agent neoclassical model (HANC) studied by Krusell and Smith (1998) has savings through capital. This model has a remarkable feature of approximate aggregation: the mean of wealth distribution can be accurately predicted with the mean of past wealth distribution. However, if...

First, we propose a more efficient implementation of the Smolyak method for interpolation, namely, we show how to avoid costly evaluations of repeated basis functions in the conventional Smolyak formula. Second, we extend the Smolyak method to include anisotropic constructions; this allows us to...

First, we propose a more efficient implementation of the Smolyak method for interpolation, namely, we show how to avoid costly evaluations of repeated basis functions in the conventional Smolyak formula. Second, we extend the Smolyak method to include anisotropic constructions; this allows us to...