tpapp / consistent-local-continuous

Continuous-time demonstration of the "Exact Present Solution" method in Julia

Consistent local approximations for continuous time

This repository contains a simple, self-contained demonstration of the method outlined in Den Haan, Kobielarz, and Rendahl (2015) and Levintal (2016), for the continuous-time deterministic Ramsey model, written in Julia.

Prerequisites

Familiarity with the Ramsey model, numerical methods, and Julia.

Organization

• doc/ contains the writeup in LaTeX & PDF.
• src/ has the Julia source.
• fig/ has the figures.

Bibliography

Den Haan, Wouter J., Michal L. Kobielarz, and Pontus Rendahl. Exact present solution with consistent future approximation: A gridless algorithm to solve stochastic dynamic models. No. 1536. 2015.

Levintal, Oren. Taylor Projection: A New Solution Method for Dynamic General Equilibrium Models. 2016.