Lecture Notes Eco 613/614 Fall 2007
نویسنده
چکیده
This infinite-dimensional object is a function of the current state. We have to decide how to approximate it numerically. One approach is to discretize the state and approximate the conditional expectation by the finite set of its values at each point in the state space. This technique involves replacing the continuous-valued Markov chain for λ with a finitely-many-discrete-valued Markov chain. Let the new Markov chain be represented by λ̃ and the values it can take be members of the finite set Λ = {λ1, λ2, . . . , λn}. Let the elements of the probability transition matrix, P , associated with λ̃ be denoted by pi,j for i, j = 1, . . . , n where pi,j = Prob(λ̃′ = λj|λ̃ = λi).
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