Envelope condition method with an application to default risk models
Cristina Arellano, Lilia Maliar, Serguei Maliar, Viktor Tsyrennikov
| 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 |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.jedc.2016.05.016 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011708605