Solving Numerically the HJB Equation: Examples

Hamilton Galindo Gil ()
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Hamilton Galindo Gil: Cleveland State University, Department of Finance and Economics

Chapter Chapter 9 in Heterogeneous Agents in Asset Pricing, Vol 1, 2025, pp 285-333 from Springer

Abstract: Abstract This chapter demonstrates the application of the finite difference method, the upwind scheme, and the implicit method by solving two models: the growth model (Candler, G. V. (2001) Finite-difference methods for continuous-time dynamic programming. In R. Marimon, & A. Scott (Eds.), Computational methods for the study of dynamic economies (pp. 172–194). Oxford University Press) (Candler, 2001) and the consumption-portfolio model (Merton, Journal of Economic Theory, 3(4), 373–413 (1971)).

Date: 2025
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DOI: 10.1007/978-3-031-93263-2_9

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