Ambler, Steve; Pelgrin, Florian - In: Journal of Economic Dynamics and Control 34 (2010) 10, pp. 2215-2228
The paper shows how to use optimal control to compute optimal time-consistent Markovian government policies in nonlinear dynamic general equilibrium models. It extends Cohen and Michel's (1988) results for the linear-quadratic case. The method involves replacing private agents' costate variables...
