Multidimensional endogenous gridpoint method: Solving triangular dynamic stochastic optimization problems without root-finding operations

Fedor Iskhakov

Economics Letters, 2015, vol. 135, issue C, 72-76

Abstract: This paper defines the class of triangular dynamic stochastic optimization problems with multiple continuous choices which can be solved by the multidimensional generalization of the method of endogenous gridpoints without costly root-finding operations. The typical member of this class is a model of multiple asset dynamics, with potential applications in wealth, health and human capital accumulation, portfolio problems, multisector growth models, etc.

Keywords: Endogenous grid method; Multidimensional continuous choice; Dynamic structural models (search for similar items in EconPapers)
JEL-codes: C63 D90 (search for similar items in EconPapers)
Date: 2015
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Citations: View citations in EconPapers (7)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecolet:v:135:y:2015:i:c:p:72-76

DOI: 10.1016/j.econlet.2015.07.033

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