@techreport{NBERw17418,
title = "How to Solve Dynamic Stochastic Models Computing Expectations Just Once",
author = "Kenneth L. Judd and Lilia Maliar and Serguei Maliar",
institution = "National Bureau of Economic Research",
type = "Working Paper",
series = "Working Paper Series",
number = "17418",
year = "2011",
month = "September",
doi = {10.3386/w17418},
URL = "http://www.nber.org/papers/w17418",
abstract = {We introduce a technique called "precomputation of integrals" that makes it possible to compute conditional expectations in dynamic stochastic models in the initial stage of the solution procedure. This technique can be applied to any set of equations that contains conditional expectations, in particular, to the Bellman and Euler equations. After the integrals are precomputed, we can solve stochastic models as if they were deterministic. We illustrate the benefits of precomputation of integrals using one- and multi-agent numerical examples.},
}