Python implementation of the Endogenous Grid Method (EGM) and Discrete-Continuous EGM (DC-EGM) algorithms for solving dynamic stochastic lifecycle models of consumption and savings, including additional discrete choices.
- Christopher D. Carroll (2006). The method of endogenous gridpoints for solving dynamic stochastic optimization problems. Economics Letters
- Iskhakov, Jorgensen, Rust, and Schjerning (2017). The Endogenous Grid Method for Discrete-Continuous Dynamic Choice Models with (or without) Taste Shocks. Quantitative Economics