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Most current cost-benefit analyses of climate change policies suggest an optimal global climate policy that is significantly less stringent than the level required to meet the internationally agreed 2 °C target. This is partly because the sum of estimated economic damage of climate change across various sectors, such as energy use and changes in… (More)

- Kenneth Judd, Yongyang Cai
- 2011

Numerical dynamic programming algorithms typically use Lagrange data to approximate value functions. This paper uses Hermite data obtained from the optimization step and applies Hermite interpolation to construct approximate value functions. Several examples show that Hermite interpolation significantly improves the accuracy of value function iteration with… (More)

This paper introduces a dynamic stochastic integrated model of climate and economy (DSICE), and a numerical dynamic programming algorithm for its solution. More specifically, we solve an example with annual time periods, a six hundred year horizon, and shocks to the economic and climate system. Our dynamic programming methods solve such models on a laptop… (More)

Continuous time is a superior representation of both the economic and climate systems that Integrated Assessment Models (IAM) aim to study. Moreover , continuous-time representations are simple to express. Continuous-time models are usually solved by discretizing time, but the quality of a solution is significantly affected by the details of the… (More)

- Yongyang Cai
- 2015

There is great uncertainty about future climate conditions and the appropriate policies for managing interactions between the climate and the economy. We develop a multidimensional computational model to examine how uncertainties and risks in the economic and climate systems affect the social cost of carbon (SCC)—that is, the present value of the marginal… (More)

In this paper, we build an intraday model for volatility based on price change intensity. The quantity we model is thus named " volatensity ". The model is a combination of an Autoregressive Conditional Duration (ACD) structure resembling that of Engle and Russel (1998) and an additional term, inspired by the literature on Hawkes processes. The ACD… (More)

An algorithm for computing a Gröbner basis of an ideal of poly-nomials whose coefficients are taken from a ring with zero divisors, is presented; such rings include Z n and Z n [i], where n is not a prime number. The algorithm is patterned after (1) Buchberger's algorithm for computing a Gröbner basis of a polynomial ideal whose coefficients are from a… (More)

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