Numerical Solution of Dynamic Equilibrium Models Under Poisson Uncertainty
Numerical Solution of Dynamic Equilibrium Models Under Poisson Uncertainty
复制标题
泊松不确定性下动态平衡模型的数值求解
DOI：
10.2139/ssrn.1640435
复制
发表时间：
2011
期刊：
影响因子：
--
通讯作者：
Timo Trimborn
中科院分区：
文献类型：
--
作者：
Olaf Posch;Timo Trimborn
本文提出了一种简单而有效的数值算法来计算具有稀有事件的连续时间动态平衡模型的跃迁过程。本文将随机微分方程动力系统转化为滞后型泛函微分方程系统。我们应用波形松弛算法，即，我们提供策略函数的猜测，并通过标准技术求解（确定性）常微分方程的结果系统。对于参数限制，随机增长模型的解析解和Lucas内生增长模型在泊松不确定性下的新解被用来计算精确的数值误差。我们展示了罕见自然灾害等（潜在的）灾难性事件如何极大地影响家庭的经济决策。(This摘要是从本条目的另一个版本中借用的。）
We propose a simple and powerful numerical algorithm to compute the transition process in continuous-time dynamic equilibrium models with rare events. In this paper we transform the dynamic system of stochastic differential equations into a system of functional differential equations of the retarded type. We apply the Waveform Relaxation algorithm, i.e., we provide a guess of the policy function and solve the resulting system of (deterministic) ordinary differential equations by standard techniques. For parametric restrictions, analytical solutions to the stochastic growth model and a novel solution to Lucas' endogenous growth model under Poisson uncertainty are used to compute the exact numerical error. We show how (potential) catastrophic events such as rare natural disasters substantially affect the economic decisions of households.(This abstract was borrowed from another version of this item.)
影响因子：
10.7
作者：
Justiniano, Alejandro;Primiceri, Giorgio E.
通讯作者：
Primiceri, Giorgio E.