Envelope condition method with an application to default risk models
Year of publication: |
August 2016
|
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Authors: | Arellano, Cristina ; Maliar, Lilia ; Maliar, Serguei ; Tsyrennikov, Viktor |
Published in: |
Journal of economic dynamics & control. - Amsterdam [u.a.] : Elsevier, ISSN 0165-1889, ZDB-ID 717409-3. - Vol. 69.2016, p. 436-459
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Subject: | Dynamic programming | Bellman equation | Endogenous grid | Curse of dimensionality | Large scale | Default risk | Theorie | Theory | Dynamische Optimierung | Kreditrisiko | Credit risk | Mathematische Optimierung | Mathematical programming | Insolvenz | Insolvency |
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