Hamilton-Jacobi-Bellman equation with multiple equilibria

Malte Sieveking

No 68, Computing in Economics and Finance 2001 from Society for Computational Economics

Abstract: The paper presents a correctnes proof as well as an implementation in maple of an algorithm to compute the value function of infinite horizon optimal control problems with a single state variable. It proceeds as follows: step1:compute candidates for equilibria(from the HJB); step2:for each candidate as initial value solve the corresponding ODE initial value problem derived from the HJB; step3: take the max of all these solutions.It is the value function. The algorithm avoids iterations and shows equilibria and Skiba points, if they exist. solutions

Keywords: Hamilton -Jacobi-Bellman equation; multiple equilibria (search for similar items in EconPapers)
JEL-codes: C2 C6 C8 (search for similar items in EconPapers)
Date: 2001-04-01
References: Add references at CitEc
Citations:

There are no downloads for this item, see the EconPapers FAQ for hints about obtaining it.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:sce:scecf1:68

Access Statistics for this paper

More papers in Computing in Economics and Finance 2001 from Society for Computational Economics Contact information at EDIRC.
Bibliographic data for series maintained by Christopher F. Baum ().