Envelope condition method with an application to default risk models

DOI10.1016/j.jedc.2016.05.016zbMath1401.91092OpenAlexW3124280898MaRDI QIDQ1655746

Lilia Maliar, Serguei Maliar, Cristina Arellano, Viktor Tsyrennikov

Publication date: 9 August 2018

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

Full work available at URL: https://economicdynamics.org/meetpapers/2015/paper_1239.pdf

zbMATH Keywords

dynamic programmingBellman equationcurse of dimensionalitydefault risklarge scaleendogenous grid

Mathematics Subject Classification ID

Related Items (2)

Ruling out multiplicity of smooth equilibria in dynamic games: a hyperbolic discounting example ⋮ An envelope method for solving continuous-time stochastic models with occasionally binding constraints

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