Investment under uncertainty: calculating the value function when the Bellman equation cannot be solved analytically

By Thomas Dangl, F. Wirl. 2004

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Switching to Perennial Energy Crops Under Uncertainty and Costly Reversibility (2011, methodology): “Compared with the shooting algorithm and finite difference method that are often used to numerically solve for value functions in stochastic dynamic optimization problems, the collocation method is a fast and robust alternative (Dangl and Wirl 2004).”