create a website

Applications of Markov chain approximation methods to optimal control problems in economics. (2022). Phelan, Thomas ; Eslami, Keyvan.
In: Journal of Economic Dynamics and Control.
RePEc:eee:dyncon:v:143:y:2022:i:c:s0165188922001427.

Full description at Econpapers || Download paper

Cited: 5

Citations received by this document

Cites: 17

References cited by this document

Cocites: 50

Documents which have cited the same bibliography

Coauthors: 0

Authors who have wrote about the same topic

Citations

Citations received by this document

  1. The Art of Temporal Approximation: An Investigation into Numerical Solutions to Discrete- and Continuous-Time Problems in Economics. (2025). Eslami, Keyvan ; Phelan, Thomas.
    In: Computational Economics.
    RePEc:kap:compec:v:65:y:2025:i:3:d:10.1007_s10614-024-10596-3.

    Full description at Econpapers || Download paper

  2. How to build and solve continuous-time heterogeneous agents models in asset pricing? The martingale approach and the finite difference method. (2025). Gil, Hamilton Galindo.
    In: Journal of Mathematical Economics.
    RePEc:eee:mateco:v:116:y:2025:i:c:s0304406824001381.

    Full description at Econpapers || Download paper

  3. Computing Longitudinal Moments for Heterogeneous Agent Models. (2024). Robinson, Baxter ; Ocampo, Sergio.
    In: Computational Economics.
    RePEc:kap:compec:v:64:y:2024:i:3:d:10.1007_s10614-023-10493-1.

    Full description at Econpapers || Download paper

  4. The Art of Temporal Approximation An Investigation into Numerical Solutions to Discrete and Continuous-Time Problems in Economics. (2023). Phelan, Thomas ; Eslami, Keyvan.
    In: Working Papers.
    RePEc:fip:fedcwq:96110.

    Full description at Econpapers || Download paper

  5. Continuous vs. discrete time: Some computational insights. (2022). Rendahl, Pontus.
    In: Journal of Economic Dynamics and Control.
    RePEc:eee:dyncon:v:144:y:2022:i:c:s0165188922002263.

    Full description at Econpapers || Download paper

References

References cited by this document

  1. Achdou, Y. ; Han, J. ; Lasry, J.-M. ; Lions, P.-L. ; Moll, B. Income and wealth distribution in macroeconomics: a continuous-time approach. 2022 Rev. Econ. Stud.. 89 4-86

  2. Barczyk, D. ; Kredler, M. A dynamic model of altruistically-motivated transfers. 2014 Rev. Econ. Dyn.. 17 303-328

  3. Barczyk, D. ; Kredler, M. Altruistically motivated transfers under uncertainty. 2014 Quant. Econ.. 5 705-749

  4. Bonnans, J.F. ; Ottenwaelter, É. ; Zidani, H. A fast algorithm for the two dimensional HJB equation of stochastic control. 2004 ESAIM. 38 723-735
    Paper not yet in RePEc: Add citation now
  5. Bonnans, J.F. ; Zidani, H. Consistency of generalized finite difference schemes for the stochastic HJB equation. 2003 SIAM J. Numer. Anal.. 41 1008-1021
    Paper not yet in RePEc: Add citation now
  6. Brunnermeier, M.K. ; Sannikov, Y. A macroeconomic model with a financial sector. 2014 Am. Econ. Rev.. 104 379-421

  7. Brunnermeier, M.K. ; Sannikov, Y. Macro, money, and finance: a continuous-time approach. 2016 Elsevier:

  8. Candler, G.V. Finite-difference methods for continuous-time dynamic programming. 2001 En : Marimon, R. ; Scott, A. Computational Methods for the Study of Dynamic Economies. Oxford University Press:
    Paper not yet in RePEc: Add citation now
  9. Carroll, C.D. The method of endogenous gridpoints for solving dynamic stochastic optimization problems. 2006 Econ. Lett.. 91 312-320

  10. d’Avernas, A., Vandeweyer, Q., 2019. A solution method for continuous-time general equilibrium models.
    Paper not yet in RePEc: Add citation now
  11. Fella, G. A generalized endogenous grid method for non-smooth and non-concave problems. 2014 Rev. Econ. Dyn.. 17 329-344

  12. Golosov, M. ; Lucas, R.E. Menu costs and Phillips curves. 2007 J. Polit. Econ.. 115 171-199

  13. Kushner, H.J. ; Dupuis, P. Numerical Methods for Stochastic Control Problems in Continuous Time. 2001 Springer Science & Business Media:
    Paper not yet in RePEc: Add citation now
  14. Puterman, M.L. ; Brumelle, S.L. On the convergence of policy iteration in stationary dynamic programming. 1979 Math. Oper. Res.. 4 60-69

  15. Puterman, M.L. ; Shin, M.C. Modified policy iteration algorithms for discounted Markov decision problems. 1978 Manag. Sci.. 24 1127-1137

  16. Stokey, N.L. Recursive Methods in Economic Dynamics. 1989 Harvard University Press:
    Paper not yet in RePEc: Add citation now
  17. Tourin, A. Optimal stochastic control, stochastic target problems, and backward SDE. 2013 Springer: New York, NY
    Paper not yet in RePEc: Add citation now

Cocites

Documents in RePEc which have cited the same bibliography

  1. INVENTORY MANAGEMENT IN DECENTRALIZED MARKETS. (2024). Murry, Charles ; Zhou, Yiyi ; Li, Fei ; Tian, Can.
    In: International Economic Review.
    RePEc:wly:iecrev:v:65:y:2024:i:1:p:431-470.

    Full description at Econpapers || Download paper

  2. Countercyclical unemployment benefits: a general equilibrium analysis of transition dynamics. (2024). Mitra, Indrajit ; Zhang, Jingjie ; Bayraktar, Erhan.
    In: Mathematics and Financial Economics.
    RePEc:spr:mathfi:v:18:y:2024:i:2:d:10.1007_s11579-023-00351-x.

    Full description at Econpapers || Download paper

  3. A mean field model for the interactions between firms on the markets of their inputs. (2024). Achdou, Yves ; Carlier, Guillaume ; Petit, Quentin ; Tonon, Daniela.
    In: Mathematics and Financial Economics.
    RePEc:spr:mathfi:v:18:y:2024:i:2:d:10.1007_s11579-023-00333-z.

    Full description at Econpapers || Download paper

  4. Twenty-five years of random asset exchange modeling. (2024). Gao, Oliver H ; Greenberg, Max.
    In: The European Physical Journal B: Condensed Matter and Complex Systems.
    RePEc:spr:eurphb:v:97:y:2024:i:6:d:10.1140_epjb_s10051-024-00695-3.

    Full description at Econpapers || Download paper

  5. Climate-related Disaster and Human Capital Investment in the Global South — Household Heterogeneity and Growth. (2024). Rezai, Armon ; Schinko, Thomas ; Yokomatsu, Muneta ; Mochizuki, Junko.
    In: Economics of Disasters and Climate Change.
    RePEc:spr:ediscc:v:8:y:2024:i:2:d:10.1007_s41885-024-00150-8.

    Full description at Econpapers || Download paper

  6. Neoclassical Growth with Limited Commitment. (2024). Uhlig, Harald ; Krueger, Dirk.
    In: PIER Working Paper Archive.
    RePEc:pen:papers:24-021.

    Full description at Econpapers || Download paper

  7. Neoclassical Growth Transition Dynamics with One-Sided Commitment. (2024). Uhlig, Harald ; Krueger, Dirk.
    In: PIER Working Paper Archive.
    RePEc:pen:papers:24-020.

    Full description at Econpapers || Download paper

  8. Neoclassical Growth with Limited Commitment. (2024). Uhlig, Harald ; Krueger, Dirk.
    In: PIER Working Paper Archive.
    RePEc:pen:papers:22-023.

    Full description at Econpapers || Download paper

  9. Model Specification Tests of Heterogenous Agent Models with Aggregate Shocks under Partial Information. (2024). Cai, Zongwu ; Wang, Rui ; Mei, Hongwei.
    In: WORKING PAPERS SERIES IN THEORETICAL AND APPLIED ECONOMICS.
    RePEc:kan:wpaper:202405.

    Full description at Econpapers || Download paper

  10. Economic Growth through Basic Research by Firms: A science linkage approach. (2024). Oikawa, Koki ; Nirei, Makoto ; Masahiro, Oroku.
    In: Discussion papers.
    RePEc:eti:dpaper:24013.

    Full description at Econpapers || Download paper

  11. Unveiling the impact of income taxes on inequality in a HACT model. (2024). Parro, Francisco.
    In: Journal of Macroeconomics.
    RePEc:eee:jmacro:v:79:y:2024:i:c:s0164070423000812.

    Full description at Econpapers || Download paper

  12. Pseudospectral methods for continuous-time heterogeneous-agent models. (2024). Schesch, Constantin.
    In: Journal of Economic Dynamics and Control.
    RePEc:eee:dyncon:v:163:y:2024:i:c:s0165188924000484.

    Full description at Econpapers || Download paper

  13. On the role of automation in an epidemic. (2024). Xu, Shaofeng ; Liu, Tao.
    In: Journal of Economic Dynamics and Control.
    RePEc:eee:dyncon:v:160:y:2024:i:c:s0165188924000186.

    Full description at Econpapers || Download paper

  14. A Brief Tour of Economic Epidemiology Modelling. (2024). Goenka, Aditya ; Chakraborty, Shankha ; Boucekkine, Raouf ; Liu, Lin.
    In: LIDAM Discussion Papers IRES.
    RePEc:ctl:louvir:2024002.

    Full description at Econpapers || Download paper

  15. Long-Term Trends in the Distribution of Wealth and Inheritance. (2024). Lluberas, Rodrigo ; Davies, James ; Waldenstrom, Daniel.
    In: CESifo Working Paper Series.
    RePEc:ces:ceswps:_11183.

    Full description at Econpapers || Download paper

  16. Machine Learning for Continuous-Time Finance. (2024). Duarte, Victor ; Silva, Dejanir H.
    In: CESifo Working Paper Series.
    RePEc:ces:ceswps:_10909.

    Full description at Econpapers || Download paper

  17. Financial Skills and Search in the Mortgage Market. (2024). Cota, Marta ; Sterc, Ante.
    In: CERGE-EI Working Papers.
    RePEc:cer:papers:wp780.

    Full description at Econpapers || Download paper

  18. Global Solutions to Master Equations for Continuous Time Heterogeneous Agent Macroeconomic Models. (2024). Gu, Zhouzhou ; Merkel, Sebastian ; Lauriere, Mathieu ; Payne, Jonathan.
    In: Papers.
    RePEc:arx:papers:2406.13726.

    Full description at Econpapers || Download paper

  19. Strategic complementarities as stochastic control under sticky price. (2024). Dong, Lambert.
    In: Papers.
    RePEc:arx:papers:2403.19847.

    Full description at Econpapers || Download paper

  20. Dynamic Programming: Finite States. (2024). Sargent, Thomas ; Stachurski, John.
    In: Papers.
    RePEc:arx:papers:2401.10473.

    Full description at Econpapers || Download paper

  21. Wealth dynamics in a multi-aggregate closed monetary system. (2024). Ghio, Matteo ; Monaco, Andrea ; Perrotta, Adamaria.
    In: Papers.
    RePEc:arx:papers:2401.09871.

    Full description at Econpapers || Download paper

  22. Stochastic Equilibrium the Lucas Critique and Keynesian Economics. (2024). Staines, David.
    In: Papers.
    RePEc:arx:papers:2312.16214.

    Full description at Econpapers || Download paper

  23. Self-Aware Transport of Economic Agents. (2024). Lyasoff, Andrew.
    In: Papers.
    RePEc:arx:papers:2303.12567.

    Full description at Econpapers || Download paper

  24. Pareto extrapolation: An analytical framework for studying tail inequality. (2023). Toda, Alexis Akira ; Gouinbonenfant, Emilien.
    In: Quantitative Economics.
    RePEc:wly:quante:v:14:y:2023:i:1:p:201-233.

    Full description at Econpapers || Download paper

  25. Price Setting With Strategic Complementarities as a Mean Field Game. (2023). Lippi, Francesco ; Souganidis, Panagiotis ; Alvarez, Fernando.
    In: Econometrica.
    RePEc:wly:emetrp:v:91:y:2023:i:6:p:2005-2039.

    Full description at Econpapers || Download paper

  26. Decomposing the Growth of Top Wealth Shares. (2023). Gomez, Matthieu.
    In: Econometrica.
    RePEc:wly:emetrp:v:91:y:2023:i:3:p:979-1024.

    Full description at Econpapers || Download paper

  27. Consumption, Wealth, and Income Inequality: A Tale of Tails. (2023). Werquin, Nicolas ; Hellwig, Christian ; Wangner, Philipp ; Gaillard, Alexandre.
    In: TSE Working Papers.
    RePEc:tse:wpaper:128768.

    Full description at Econpapers || Download paper

  28. Left and Right: A Tale of Two Tails of the Wealth Distribution. (2023). Sorge, Marco ; D'Amato, Marcello ; di Pietro, Christian.
    In: CSEF Working Papers.
    RePEc:sef:csefwp:691.

    Full description at Econpapers || Download paper

  29. Fiscal Costs of Climate Policies: Role of Tax, Political, and Behavioural Distortions. (2023). van der Ploeg, Frederick (Rick).
    In: De Economist.
    RePEc:kap:decono:v:171:y:2023:i:2:d:10.1007_s10645-023-09419-x.

    Full description at Econpapers || Download paper

  30. The Economics of Financial Stress. (2023). Gorodnichenko, Yuriy ; Sergeyev, Dmitriy ; Lian, Chen.
    In: IZA Discussion Papers.
    RePEc:iza:izadps:dp16318.

    Full description at Econpapers || Download paper

  31. Stimulus through Insurance: The Marginal Propensity to Repay Debt. (2023). Wiczer, David ; Melcangi, Davide ; Kosar, Gizem ; Pilossoph, Laura ; Koar, Gizem.
    In: IZA Discussion Papers.
    RePEc:iza:izadps:dp16211.

    Full description at Econpapers || Download paper

  32. The Art of Temporal Approximation An Investigation into Numerical Solutions to Discrete and Continuous-Time Problems in Economics. (2023). Phelan, Thomas ; Eslami, Keyvan.
    In: Working Papers.
    RePEc:fip:fedcwq:96110.

    Full description at Econpapers || Download paper

  33. Distributional effects of endogenous discounting. (2023). Kirsanova, Tatiana ; Hashimzade, Nigar.
    In: Mathematical Social Sciences.
    RePEc:eee:matsoc:v:122:y:2023:i:c:p:1-6.

    Full description at Econpapers || Download paper

  34. Energy shortages and aggregate demand: Output loss and unequal burden from HANK. (2023). Pieroni, Valerio.
    In: European Economic Review.
    RePEc:eee:eecrev:v:154:y:2023:i:c:s0014292123000570.

    Full description at Econpapers || Download paper

  35. Tax progressivity and the Pareto tail of income distributions. (2023). Zhao, Xueya ; Zhu, Shenghao ; Yang, C C.
    In: Economics Letters.
    RePEc:eee:ecolet:v:231:y:2023:i:c:s0165176523002987.

    Full description at Econpapers || Download paper

  36. Capital income risk and the dynamics of the wealth distribution. (2023). Wälde, Klaus ; Walde, Klaus ; Khieu, Hoang.
    In: Economic Modelling.
    RePEc:eee:ecmode:v:122:y:2023:i:c:s026499932300055x.

    Full description at Econpapers || Download paper

  37. Firm heterogeneity, financial frictions and ambiguity. (2023). Carbonari, Lorenzo ; Maurici, Filippo.
    In: Journal of Economic Dynamics and Control.
    RePEc:eee:dyncon:v:155:y:2023:i:c:s0165188923001422.

    Full description at Econpapers || Download paper

  38. The Macroeconomic and Redistributive Effects of Shielding Consumers from Rising Energy Prices: the French Experiment. (2023). Tripier, Fabien ; Malmberg, Selma ; Langot, Francois ; Hairault, Jean-Olivier.
    In: CEPREMAP Working Papers (Docweb).
    RePEc:cpm:docweb:2305.

    Full description at Econpapers || Download paper

  39. Differential Games of Public Investment. (2023). Wagener, Florian ; Jaakkola, Niko.
    In: CESifo Working Paper Series.
    RePEc:ces:ceswps:_10585.

    Full description at Econpapers || Download paper

  40. Dynamic Tax Evasion and Capital Misallocation in General Equilibrium. (2023). Regis, Luca ; Menoncin, Francesco ; Modena, Andrea.
    In: CRC TR 224 Discussion Paper Series.
    RePEc:bon:boncrc:crctr224_2023_453.

    Full description at Econpapers || Download paper

  41. Estimation of Heterogeneous Agent Models: A Likelihood Approach. (2023). Posch, Olaf ; Wang, Muchun ; Parraalvarez, Juan Carlos.
    In: Oxford Bulletin of Economics and Statistics.
    RePEc:bla:obuest:v:85:y:2023:i:2:p:304-330.

    Full description at Econpapers || Download paper

  42. Subsidizing business entry in competitive credit markets. (2023). Cuciniello, Vincenzo ; Paciello, Luigi ; Michelacci, Claudio.
    In: Temi di discussione (Economic working papers).
    RePEc:bdi:wptemi:td_1424_23.

    Full description at Econpapers || Download paper

  43. The Macroeconomic Effects of Debt Relief Policies During Recessions. (2023). Lee, Soyoung.
    In: Staff Working Papers.
    RePEc:bca:bocawp:23-48.

    Full description at Econpapers || Download paper

  44. Non-linear approximations of DSGE models with neural-networks and hard-constraints. (2023). Hall-Hoffarth, Emmet.
    In: Papers.
    RePEc:arx:papers:2310.13436.

    Full description at Econpapers || Download paper

  45. Finding Regularized Competitive Equilibria of Heterogeneous Agent Macroeconomic Models with Reinforcement Learning. (2023). Yang, Zhuoran ; Wang, Zhaoran ; Min, Yifei ; Xu, Ruitu ; Jordan, Michael I.
    In: Papers.
    RePEc:arx:papers:2303.04833.

    Full description at Econpapers || Download paper

  46. Decarbonization of financial markets: a mean-field game approach. (2023). Lavigne, Pierre ; Tankov, Peter.
    In: Papers.
    RePEc:arx:papers:2301.09163.

    Full description at Econpapers || Download paper

  47. Heterogeneity in Macroeconomics: The Compositional Inequality Perspective. (2022). Ranaldi, Marco ; Palagi, Elisa.
    In: SocArXiv.
    RePEc:osf:socarx:fjcxb.

    Full description at Econpapers || Download paper

  48. Quasi-hyperbolic discounting under recursive utility and consumption–investment decisions. (2022). Shigeta, Yuki.
    In: Journal of Economic Theory.
    RePEc:eee:jetheo:v:204:y:2022:i:c:s0022053122001089.

    Full description at Econpapers || Download paper

  49. Continuous vs. discrete time: Some computational insights. (2022). Rendahl, Pontus.
    In: Journal of Economic Dynamics and Control.
    RePEc:eee:dyncon:v:144:y:2022:i:c:s0165188922002263.

    Full description at Econpapers || Download paper

  50. Applications of Markov chain approximation methods to optimal control problems in economics. (2022). Phelan, Thomas ; Eslami, Keyvan.
    In: Journal of Economic Dynamics and Control.
    RePEc:eee:dyncon:v:143:y:2022:i:c:s0165188922001427.

    Full description at Econpapers || Download paper

Coauthors

Authors registered in RePEc who have wrote about the same topic

Report date: 2025-09-06 01:12:32 || Missing content? Let us know

CitEc is a RePEc service, providing citation data for Economics since 2001. Last updated August, 3 2024. Contact: Jose Manuel Barrueco.