Solving higher-dimensional continuous-time stochastic control problems by value function regression
Article Abstract:
A method for solving higher-dimensional control problems in continuous time is developed. In this method, a finite-difference type approximation scheme is employed on a coarse grid, while the value function at intermediate points is obtained by regression. The stability properties of the method are elaborated upon, and applications to test problems are discussed. Accurate solutions to these problems, which can have up to 10 dimensions, can be obtained from a personal computer.
Publication Name: Journal of Economic Dynamics & Control
Subject: Economics
ISSN: 0165-1889
Year: 1999
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Household borrowing constraints, fertility dynamics, and economic growth
Article Abstract:
The role of population dynamics of a family in determining the amount of money borrowed by parents for higher education of children is discussed.
Publication Name: Journal of Economic Dynamics & Control
Subject: Economics
ISSN: 0165-1889
Year: 2006
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