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This chapter demonstrates the application of the finite difference method, the upwind scheme, and the implicit method by solving two models: the growth model (Candler, G. V. (2001) Finite-difference methods for continuous-time dynamic programming. In R. Marimon, & A. Scott (Eds.), Computational methods for the study of dynamic economies (pp. 172–194). Oxford University Press) (Candler, 2001) and the consumption-portfolio model (Merton, Journal of Economic Theory, 3(4), 373–413 (1971)).

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Solving Numerically the HJB Equation: Examples

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  • 发表日期：

    2025年

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  • Hamilton Galindo Gil

摘要

This chapter demonstrates the application of the finite difference method, the upwind scheme, and the implicit method by solving two models: the growth model (Candler, G. V. (2001) Finite-difference methods for continuous-time dynamic programming. In R. Marimon, & A. Scott (Eds.), Computational methods for the study of dynamic economies (pp. 172–194). Oxford University Press) (Candler, 2001) and the consumption-portfolio model (Merton, Journal of Economic Theory, 3(4), 373–413 (1971)).