A Probabilistic Solution to High-Dimensional Continuous-Time Macro and Finance Models
Year of publication: |
2023
|
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Authors: | Huang, Ji |
Publisher: |
Munich : Center for Economic Studies and ifo Institute (CESifo) |
Subject: | backward stochastic differential equation | deep reinforcement learning | the curse of dimensionality | heterogeneous-agent continuous-time model | finite volume method |
Series: | CESifo Working Paper ; 10600 |
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Type of publication: | Book / Working Paper |
Type of publication (narrower categories): | Working Paper |
Language: | English |
Other identifiers: | 1858015138 [GVK] hdl:10419/279351 [Handle] RePec:ces:ceswps:_10600 [RePEc] |
Classification: | C63 - Computational Techniques ; G21 - Banks; Other Depository Institutions; Mortgages ; E44 - Financial Markets and the Macroeconomy |
Source: |
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A probabilistic solution to high-dimensional continuous-time macro and finance models
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