chenwilliam77 / RiskAdjustedLinearizations.jl

Linearize dynamic economic models around their stochastic steady state

Home Page:https://chenwilliam77.github.io/RiskAdjustedLinearizations.jl/dev/

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Generalize RiskAdjustedLinearization to allow jump-dependence in Lambda and Sigma

chenwilliam77 opened this issue · comments

  • Need to create RALF3 type for relative entropy to allow 3 input arguments. Also to cache when (z, y, Psi) are all Dual and when z is a Dual.
  • Update handling of entropy function to allow for arguments (zt, Psi, z, y). When solving for relative entropy via a nonlinear solver, the mapping will be (z, Psi) -> (z, Psi, z, y + Psi * (z - z)). When calculating the Jacobian, the mapping will be zt -> (zt, Psi, z, y + Psi * (zt - z))evaluated atzt = z`.
  • Create new type for jump-dependence in Lambda and Sigma