Finite Differences on Sparse Grids for Continuous-Time Heterogeneous Agent Models
We present a finite difference method working on sparse grids to solve higher dimensional heterogeneous agent models. If one wants to solve the arising Hamilton–Jacobi–Bellman equation on a standard full grid, one faces the problem that the number of grid points grows exponentially with the number o...
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| Main Authors: | , |
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| Format: | Article |
| Language: | English |
| Published: |
MDPI AG
2025-01-01
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| Series: | Algorithms |
| Subjects: | |
| Online Access: | https://www.mdpi.com/1999-4893/18/1/40 |
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