On this web page I provide software to solve continuous-time models numerically.
Deterministic Models: Relaxation Algorithm
(with Thomas M. Steger and Karl-Josef Koch)
The Relaxation algorithm is a convenient and user-friendly method to solve deterministic continuous-time models. The method is described here: [article]. A Matlab and a Mathematica implementation is available here: [code].
Deterministic Models: Inequality Constraints
I propose a simple method to solve continuous-time dynamic models with occasionally binding inequality constraints. The method is described here: [article]. A Matlab implementation is available here: [code].
Deterministic Models: other useful code
I provide Matlab code to analyze Differential Algebraic Systems: [code]. The function time_der.m calculates the time derivative and growth rate of variables whose time path is described by a Differential Algebraic System. The function eigDAS.m linearizes a Differential Algebraic System and calculates the Eigenvalues and Eigenvectors describing the dynamics of the linearized system. Both functions can be used together with the Relaxation Algorithm or as a stand-alone application. Enter help time_der and help eigDAS, respectively, at the Matlab command window for further Information how to use the code.
Deterministic Model: Shooting Algorithm
(with Johannes Schünemann and Holger Strulik)
We use a shooting algorithm to solve for the optimal life-cycle trajectories of consumption and health spending of a couple with endogenous lifespan. For a description of the model see here: [article]. For the code see here: [code].
Stochastic Models: Waveform Relaxation
(with Olaf Posch)
We propose a simple and powerful algorithm to compute the transition process in continuous-time dynamic models with rare events (represented by Poisson shocks). The method is described here: [article]. A Matlab implementation is available here: [code].
The code provided on this web page is free of charge. If you use the code, please cite the respective publication.