Solving nonlinear dynamic stochastic models: an algorithm computing value functions by simulations

• Autores: Serguei Maliar, Lilia Maliar
• Localización: Working papers = Documentos de trabajo: Serie AD, Nº. 37, 2004
• Idioma: inglés
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• Resumen

  • This paper presents an algorithm for solving nonlinear dynamic stochastic models that computes value function by simulations. We argue that the proposed algorithm can be a useful alternative to the existing methods in some applications.