Optimal Control and Stochastic Simulation of Large Nonlinear Models with Rational Expectations

22 Pages Posted: 20 Jun 2001

See all articles by Ray C. Fair

Ray C. Fair

Yale University - Cowles Foundation; Yale School of Management - International Center for Finance

Date Written: May 2001

Abstract

This paper presents a computationally feasible procedure for the optimal control and stochastic simulation of large nonlinear models with rational expectations under the assumption of certainty equivalence.

JEL Classification: C15, C50

Suggested Citation

Fair, Ray C., Optimal Control and Stochastic Simulation of Large Nonlinear Models with Rational Expectations (May 2001). Yale ICF Working Paper No. 00-41. Available at SSRN: https://ssrn.com/abstract=273254 or http://dx.doi.org/10.2139/ssrn.273254

Ray C. Fair (Contact Author)

Yale University - Cowles Foundation ( email )

Box 208281
New Haven, CT 06520-8281
United States
203-432-3715 (Phone)
203-432-6167 (Fax)

HOME PAGE: http://fairmodel.econ.yale.edu

Yale School of Management - International Center for Finance ( email )

Box 208200
New Haven, CT 06520
United States
203-432-3715 (Phone)
203-432-6167 (Fax)

HOME PAGE: http://fairmodel.econ.yale.edu

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