High-Dimensional Dynamic Stochastic Model Representation
DOI10.1137/21M1392231OpenAlexW4282573382MaRDI QIDQ5084508
Aryan Eftekhari, Simon Scheidegger
Publication date: 24 June 2022
Published in: SIAM Journal on Scientific Computing (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/2202.06555
high-performance computinghigh-dimensional model representationadaptive sparse gridsinternational real business cycles
Stochastic models in economics (91B70) Parallel algorithms in computer science (68W10) Multidimensional problems (41A63) Computational methods for problems pertaining to game theory, economics, and finance (91-08) Approximation algorithms (68W25) Series expansions (e.g., Taylor, Lidstone series, but not Fourier series) (41A58) Economic dynamics (91B55)
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