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Solving nonlinear dynamic stochastic models: An algorithm computing value function by simulations
Nonlinear stochastic models Value function Parameterized expectations Monte Carlo simulations Numerical solutions
2015/7/21
This paper presents an algorithm for solving nonlinear dynamic stochastic models that computes value function by simulations. We argue that the proposed algorithm can be a useful alternative to the ex...
Since the seminal paper of Shapley, the theory of stochastic games has been developed in many different directions. However, there has been practically no work on the interplay between stochastic game...