Dynamic Programming with two endogenous states

Hey all,

I have a dynamic programming problem. I have two endogenous and one exogenous state variables and I need to code this in Matlab. All states are continuous (time is discrete).

I can easily code a value function iteration when there is one exogenous and one endogenous state. However, I couldn't figure out how to code it with a second endogenous state.

The Bellman equation is like this:

where a and b are the endogenous states and z is exogenous.

Any help appreciated!

[Zigan Wang]

Have you got the answer? Thanks.

[Zigan Wang]

I have the same question.

[Mingzuo Sun]

Me too！

[Prerna Mishra]

Hey did you figure this out?