Abstract
I describe a method that can be used to approximate the solution of the stochastic growth model. The method relies on approximating the return and transition functions of the original problem by taking second-order and first-order Taylor expansions around the steady state of the system. The result is the optimal linear regulator problem.
| Original language | English (US) |
|---|---|
| Pages (from-to) | 41-44 |
| Number of pages | 4 |
| Journal | Journal of Business and Economic Statistics |
| Volume | 8 |
| Issue number | 1 |
| DOIs | |
| State | Published - 1990 |
Keywords
- Algorithms
- Optimal control
- Riccati equation