Now showing items 1-5 of 5

    • Block SOR preconditioned projection methods for Kronecker structured Markovian representations 

      Buchholz P.; Dayar T. (SIAM, 2005)
      Kronecker structured representations are used to cope with the state space explosion problem in Markovian modeling and analysis. Currently, an open research problem is that of devising strong preconditioners to be used ...
    • Do CAPM results hold in a dynamic economy? a numerical analysis 

      Akdeniz, L.; Dechert, W. D. (Elsevier, 1997)
      In this research we use the projection method (reported by Judd) to find numerical solutions to the Euler equations of a stochastic dynamic growth model. The model that we solve is Brock's asset pricing model for a variety ...
    • The equity premium in Brock's asset pricing model 

      Akdeniz, L.; Dechert, W. D. (Elsevier, 2007)
      In this paper we combine dynamic programming methods with projection methods for solving stochastic growth models. As an application of these methods, we solve Brock’s asset pricing model with a variety of parameterizations. ...
    • The equity premium in consumption and production models? 

      Akdeniz, L.; Dechert, W. D. (Cambridge University Press, 2012-02-27)
      In this paper we use a simple model with a single Cobb–Douglas firm and a consumer with a CRRA utility function to show the difference between the equity premia in the production-based Brock model and the consumption-based ...
    • The parallel surrogate constraint approach to the linear feasibility problem 

      Özaktaş, Hakan; Akgül, Mustafa; Pınar, Mustafa Ç. (Springer, 1996)
      The linear feasibility problem arises in several areas of applied mathematics and medical science, in several forms of image reconstruction problems. The surrogate constraint algorithm of Yang and Murty for the linear ...