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| Author: | Santos, M. S. Vigo-Aguiar, J. |
| Title: | Analysis of a numerical dynamic programming algorithm applied to economic models |
| Journal: | Econometrica
1998 : MAR, VOL. 66:2, p. 409-426 |
| Index terms: | DYNAMIC PROGRAMMING ECONOMETRIC MODELS ERROR ESTIMATION |
| Language: | eng |
| Abstract: | This paper develops a discretized version of dynamic programming algorithm and studies its convergence and stability properties. The paper shows that the computed value function converges quadratically to the true value function and that the computed policy function converges linearly, as the mesh size of the discretization converges to zero; further the algorithm is stable. Some aspects of the implementation of the procedures as applied to some commonly studied growth models are also discussed. |
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