Solving the incomplete markets model with aggregate uncertainty by backward induction

DOI10.1016/j.jedc.2008.11.009zbMath1179.91010OpenAlexW2038478159MaRDI QIDQ1046039

Michael Reiter

Publication date: 21 December 2009

Published in: Journal of Economic Dynamics \& Control (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jedc.2008.11.009

zbMATH Keywords

heterogeneous agentsbackward induction

Mathematics Subject Classification ID

Macroeconomic theory (monetary models, models of taxation) (91B64) Computational methods for problems pertaining to game theory, economics, and finance (91-08) Dynamic stochastic general equilibrium theory (91B51) Heterogeneous agent models (91B69)

Related Items (4)

Applying the explicit aggregation algorithm to heterogeneous agent models in continuous time ⋮ Recursive equilibrium in Krusell and Smith (1998) ⋮ Solving the incomplete markets model with aggregate uncertainty using parameterized cross-sectional distributions ⋮ Solving the incomplete markets model with aggregate uncertainty using explicit aggregation

Cites Work

• Unnamed Item
• Solving heterogeneous-agent models with parameterized cross-sectional distributions
• Computational suite of models with heterogeneous agents: incomplete markets and aggregate uncertainty
• Comparison of solutions to the incomplete markets model with aggregate uncertainty
• Algorithms and economic dynamics. Selected papers from the 2nd annual meeting of the Society for Computational Economics, Geneva, Switzerland, 1996
• The method of endogenous gridpoints for solving dynamic stochastic optimization problems

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