state variables. We evaluate the numerical accuracy and computational efficiency of the algorithm by solving a standard … estimated by Guvenen et al (2015) to demonstrate the usefulness of the algorithm. We demonstrate that the consumption dynamics …

formulation of the problem with the point of view of the optimal control theory naturally gives as a first result the time …

- lation algorithm (GSSA) in three applications: the standard representative - agent neoclassical growth model, a model with …

Generalising the idea of the classical EM algorithm that is widely used for computing maximum likelihood estimates, we … propose an EM-Control (EM-C) algorithm for solving multi-period finite time horizon stochastic control problems. The new … algorithm sequentially updates the control policies in each time period using Monte Carlo simulation in a forward …