Fitted value function iteration with probability one contractions
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DOI: 10.1016/j.jedc.2012.08.003
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Citations
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Cited by:
- Arellano, Cristina & Maliar, Lilia & Maliar, Serguei & Tsyrennikov, Viktor, 2016.
"Envelope condition method with an application to default risk models,"
Journal of Economic Dynamics and Control, Elsevier, vol. 69(C), pages 436-459.
- Cristina Arellano & Lilia Maliar & Serguei Maliar & Viktor Tsyrennikov, 2014. "Envelope Condition Method with an Application to Default Risk Models," BYU Macroeconomics and Computational Laboratory Working Paper Series 2014-04, Brigham Young University, Department of Economics, BYU Macroeconomics and Computational Laboratory.
- Viktor Tsyrennikov & Serguei Maliar & Lilia Maliar & Cristina Arellano, 2015. "Envelope Condition Method with an Application to Default Risk Models," 2015 Meeting Papers 1239, Society for Economic Dynamics.
- Kristensen, Dennis & Mogensen, Patrick K. & Moon, Jong Myun & Schjerning, Bertel, 2021.
"Solving dynamic discrete choice models using smoothing and sieve methods,"
Journal of Econometrics, Elsevier, vol. 223(2), pages 328-360.
- Dennis Kristensen & Patrick K. Mogensen & Jong-Myun Moon & Bertel Schjerning, 2019. "Solving dynamic discrete choice models using smoothing and sieve methods," CeMMAP working papers CWP15/19, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
- Dennis Kristensen & Patrick K. Mogensen & Jong Myun Moon & Bertel Schjerning, 2019. "Solving Dynamic Discrete Choice Models Using Smoothing and Sieve Methods," Papers 1904.05232, arXiv.org, revised Feb 2020.
- Robert Kirkby Author-Email: robertkirkby@gmail.com|, 2017. "Convergence of Discretized Value Function Iteration," Computational Economics, Springer;Society for Computational Economics, vol. 49(1), pages 117-153, January.
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Keywords
Dynamic programming; Value function iteration; Monte Carlo;All these keywords.
JEL classification:
- C61 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Optimization Techniques; Programming Models; Dynamic Analysis
- C63 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Computational Techniques
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