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- W4220654840 abstract "I introduce a finite-difference solution method based on the envelope condition in continuous-time stochastic dynamic programming problems. The envelope method is easier to code and, in the presence of occasionally binding constraints, faster and more stable than popular methods based on the Hamilton–Jacobi–Bellman equation. As an illustration, I solve a stochastic growth model with irreversible investment. • I introduce a new method for solving continuous-time economic models. • The key is a connection between optimal choices and derivatives of value functions. • Stable approximations are easier to code than existing methods. • It dominates existing algorithms in terms of speed and stability in some settings." @default.
- W4220654840 created "2022-04-03" @default.
- W4220654840 creator A5088008290 @default.
- W4220654840 date "2022-05-01" @default.
- W4220654840 modified "2023-09-27" @default.
- W4220654840 title "An envelope method for solving continuous-time stochastic models with occasionally binding constraints" @default.
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- W4220654840 doi "https://doi.org/10.1016/j.econlet.2022.110434" @default.
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