Stochastic Economic Dynamics

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Stochastic Economic Dynamics

Bjarne S. Jensen,Tapio Palokangas
Stochastic Economic Dynamics Book PDF

Author : Bjarne S. Jensen,Tapio Palokangas
Publisher : Copenhagen Business School Press DK
Page : 464 pages
File Size : 51,9 Mb
Release : 2007
Category : Business & Economics
ISBN : 8763001853

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Stochastic Economic Dynamics by Bjarne S. Jensen,Tapio Palokangas Pdf

This book analyzes stochastic dynamic systems across a broad spectrum in economics and finance. The major unifying theme is the coherent and rigorous treatment of uncertainty and its implications for describing stochastic processes by the stochastic differential equations of the fundamental models in various fields. Pertinent subjects are interrelated, juxtaposed, and examined for consistency in theoretical and empirical contexts. The volume consists of three parts: Developments in Stochastic Dynamics; Stochastic Dynamics in Basic Economic Growth Models; and Intertemporal Optimization in Consumption, Finance, and Growth. Key topics include: fractional Brownian motion in finance; moment evolution of Gaussian and geometric Wiener diffusions; stochastic kinematics and stochastic mechanics; stochastic growth in continuous time; time delays and Hopf bifurcation; consumption and investment strategies; differential systems in finance and life insurance; uncertainty of technological innovations; investment and employment cycles; stochastic control theory; and risk aversion. The works collected in this book serves to bridge the "old" deterministic dynamics and the "new" stochastic dynamics. The collection is important for scholars and advanced graduate students of economics, statistics, and applied mathematics.

Stochastic Models of Control and Economic Dynamics

Vadim Iosifovich Arkin,I. V. Evstigneev
Stochastic Models of Control and Economic Dynamics Book PDF

Author : Vadim Iosifovich Arkin,I. V. Evstigneev
Publisher : London : Academic Press
Page : 240 pages
File Size : 54,6 Mb
Release : 1987
Category : Business & Economics
ISBN : UOM:39015013929198

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Stochastic Models of Control and Economic Dynamics by Vadim Iosifovich Arkin,I. V. Evstigneev Pdf

This book is devoted to a specific problem in the general theory of automatic control -- sequential control under conditions of incomplete information. The main results concern the case in which at each moment of (continuous) time only a finite number of controls are admissible and the results of control action are represented by realizations of random variables whose distributions at a given control correspond to one of several alternative hypotheses. The analysis is conducted in a Bayesian framework.

Economic Dynamics, second edition

John Stachurski
Economic Dynamics second edition Book PDF

Author : John Stachurski
Publisher : MIT Press
Page : 395 pages
File Size : 45,9 Mb
Release : 2022-08-16
Category : Business & Economics
ISBN : 9780262544771

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Economic Dynamics, second edition by John Stachurski Pdf

The second edition of a rigorous and example-driven introduction to topics in economic dynamics that emphasizes techniques for modeling dynamic systems. This text provides an introduction to the modern theory of economic dynamics, with emphasis on mathematical and computational techniques for modeling dynamic systems. Written to be both rigorous and engaging, the book shows how sound understanding of the underlying theory leads to effective algorithms for solving real-world problems. The material makes extensive use of programming examples to illustrate ideas, bringing to life the abstract concepts in the text. Key topics include algorithms and scientific computing, simulation, Markov models, and dynamic programming. Part I introduces fundamentals and part II covers more advanced material. This second edition has been thoroughly updated, drawing on recent research in the field. New for the second edition: “Programming-language agnostic” presentation using pseudocode. New chapter 1 covering conceptual issues concerning Markov chains such as ergodicity and stability. New focus in chapter 2 on algorithms and techniques for program design and high-performance computing. New focus on household problems rather than optimal growth in material on dynamic programming. Solutions to many exercises, code, and other resources available on a supplementary website.

Stochastic Economics

Gerhard Tintner,Jati K. Sengupta
Stochastic Economics Book PDF

Author : Gerhard Tintner,Jati K. Sengupta
Publisher : Elsevier
Page : 328 pages
File Size : 50,5 Mb
Release : 2014-05-10
Category : Mathematics
ISBN : 9781483274027

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Stochastic Economics by Gerhard Tintner,Jati K. Sengupta Pdf

Stochastic Economics: Stochastic Processes, Control, and Programming presents some aspects of economics from a stochastic or probabilistic point of view. The application of stochastic processes to the theory of economic development, stochastic control theory, and various aspects of stochastic programming is discussed. Comprised of four chapters, this book begins with a short survey of the stochastic view in economics, followed by a discussion on discrete and continuous stochastic models of economic development. The next chapter focuses on methods of stochastic control and their application to dynamic economic models, with emphasis on those aspects connected especially with the theory of quantitative economic policy. Some basic operational problems of applying stochastic control, particularly in economic systems and organizations for problems such as dynamic resource allocation, growth planning, and economic coordination are considered. The last chapter is devoted to stochastic programming, paying particular attention to the decision rule theory of operations research under the chance-constrained model and a method of incorporating reliability measures into a systems reliability model. This book will be of interest to economists, statisticians, applied mathematicians, operations researchers, and systems engineers.

Recursive Methods in Economic Dynamics

Nancy L. Stokey
Recursive Methods in Economic Dynamics Book PDF

Author : Nancy L. Stokey
Publisher : Harvard University Press
Page : 607 pages
File Size : 49,9 Mb
Release : 1989-10-10
Category : Business & Economics
ISBN : 9780674735187

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Recursive Methods in Economic Dynamics by Nancy L. Stokey Pdf

This rigorous but brilliantly lucid book presents a self-contained treatment of modern economic dynamics. Stokey, Lucas, and Prescott develop the basic methods of recursive analysis and illustrate the many areas where they can usefully be applied.

Economic Dynamics in Discrete Time, second edition

Jianjun Miao
Economic Dynamics in Discrete Time second edition Book PDF

Author : Jianjun Miao
Publisher : MIT Press
Page : 849 pages
File Size : 55,9 Mb
Release : 2020-03-03
Category : Business & Economics
ISBN : 9780262043625

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Economic Dynamics in Discrete Time, second edition by Jianjun Miao Pdf

A unified and comprehensive introduction to the analytical and numerical tools for solving dynamic economic problems; substantially revised for the second edition. This book offers a unified, comprehensive, and up-to-date treatment of analytical and numerical tools for solving dynamic economic problems. The focus is on introducing recursive methods—an important part of every economist's set of tools—and readers will learn to apply recursive methods to a variety of dynamic economic problems. The book is notable for its combination of theoretical foundations and numerical methods. Each topic is first described in theoretical terms, with explicit definitions and rigorous proofs; numerical methods and computer codes to implement these methods follow. Drawing on the latest research, the book covers such cutting-edge topics as asset price bubbles, recursive utility, robust control, policy analysis in dynamic New Keynesian models with the zero lower bound on interest rates, and Bayesian estimation of dynamic stochastic general equilibrium (DSGE) models. This second edition has been substantially updated. Responding to renewed interest in modeling with multiple equilibria, it incorporates new material on this topic throughout. It offers an entirely new chapter on deterministic nonlinear systems, and provides new material on such topics as linear planar systems, chaos, bifurcations, indeterminacy and sunspot solutions, pruning nonlinear solutions, the bandit problem, rational inattention models, bequests, self-fulfilling prophecies, the cyclical behavior of unemployment and vacancies, and the long-run risk model. The exposition of each chapter has been revised and improved, and many new figures, Matlab codes, and exercises have been added. A student solutions manual can be purchased separately.

Economic Dynamics in Discrete Time, second edition

Jianjun Miao
Economic Dynamics in Discrete Time second edition Book PDF

Author : Jianjun Miao
Publisher : MIT Press
Page : 849 pages
File Size : 47,8 Mb
Release : 2020-03-03
Category : Business & Economics
ISBN : 9780262357333

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Economic Dynamics in Discrete Time, second edition by Jianjun Miao Pdf

A unified and comprehensive introduction to the analytical and numerical tools for solving dynamic economic problems; substantially revised for the second edition. This book offers a unified, comprehensive, and up-to-date treatment of analytical and numerical tools for solving dynamic economic problems. The focus is on introducing recursive methods—an important part of every economist's set of tools—and readers will learn to apply recursive methods to a variety of dynamic economic problems. The book is notable for its combination of theoretical foundations and numerical methods. Each topic is first described in theoretical terms, with explicit definitions and rigorous proofs; numerical methods and computer codes to implement these methods follow. Drawing on the latest research, the book covers such cutting-edge topics as asset price bubbles, recursive utility, robust control, policy analysis in dynamic New Keynesian models with the zero lower bound on interest rates, and Bayesian estimation of dynamic stochastic general equilibrium (DSGE) models. This second edition has been substantially updated. Responding to renewed interest in modeling with multiple equilibria, it incorporates new material on this topic throughout. It offers an entirely new chapter on deterministic nonlinear systems, and provides new material on such topics as linear planar systems, chaos, bifurcations, indeterminacy and sunspot solutions, pruning nonlinear solutions, the bandit problem, rational inattention models, bequests, self-fulfilling prophecies, the cyclical behavior of unemployment and vacancies, and the long-run risk model. The exposition of each chapter has been revised and improved, and many new figures, Matlab codes, and exercises have been added. A student solutions manual can be purchased separately.

Nonlinearities in Economics

Giuseppe Orlando,Alexander N. Pisarchik,Ruedi Stoop
Nonlinearities in Economics Book PDF

Author : Giuseppe Orlando,Alexander N. Pisarchik,Ruedi Stoop
Publisher : Springer Nature
Page : 361 pages
File Size : 55,8 Mb
Release : 2021-08-31
Category : Business & Economics
ISBN : 9783030709822

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Nonlinearities in Economics by Giuseppe Orlando,Alexander N. Pisarchik,Ruedi Stoop Pdf

This interdisciplinary book argues that the economy has an underlying non-linear structure and that business cycles are endogenous, which allows a greater explanatory power with respect to the traditional assumption that dynamics are stochastic and shocks are exogenous. The first part of this work is formal-methodological and provides the mathematical background needed for the remainder, while the second part presents the view that signal processing involves construction and deconstruction of information and that the efficacy of this process can be measured. The third part focuses on economics and provides the related background and literature on economic dynamics and the fourth part is devoted to new perspectives in understanding nonlinearities in economic dynamics: growth and cycles. By pursuing this approach, the book seeks to (1) determine whether, and if so where, common features exist, (2) discover some hidden features of economic dynamics, and (3) highlight specific indicators of structural changes in time series. Accordingly, it is a must read for everyone interested in a better understanding of economic dynamics, business cycles, econometrics and complex systems, as well as non-linear dynamics and chaos theory.

Stochastic Dynamic Macroeconomics

Gang Gong,Willi Semmler
Stochastic Dynamic Macroeconomics Book PDF

Author : Gang Gong,Willi Semmler
Publisher : Oxford University Press
Page : 224 pages
File Size : 46,5 Mb
Release : 2006-01-19
Category : Business & Economics
ISBN : 0195345738

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Stochastic Dynamic Macroeconomics by Gang Gong,Willi Semmler Pdf

This is a book on stochastic dynamic macroeconomics from a Keynesian perspective. It shows that including Keynesian features in intertemporal models considerably contributes to resolve major puzzles arising in the context of the Dynamic General Equilibrium (DGE) model. It also demonstrates that including microeconomic intertemporal behavior of economic agents in macroeconomics is not inconsistent with Keynesian economics.

Stochastic Dynamics of Economic Cycles

Viacheslav Karmalita
Stochastic Dynamics of Economic Cycles Book PDF

Author : Viacheslav Karmalita
Publisher : Walter de Gruyter GmbH & Co KG
Page : 106 pages
File Size : 49,8 Mb
Release : 2020-10-12
Category : Mathematics
ISBN : 9783110707021

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Stochastic Dynamics of Economic Cycles by Viacheslav Karmalita Pdf

This book exposes the theory under the phenomenon of economic cycles and provides mathematical tools for their quantitative description. The approach allows to provide the stochastic description of the investment function, to recover the income function from GDP estimates, and to propose the identification procedure for pseudo-stationary models of economic cycles. .

The Economics of Inaction

Nancy L. Stokey
The Economics of Inaction Book PDF

Author : Nancy L. Stokey
Publisher : Princeton University Press
Page : 321 pages
File Size : 46,5 Mb
Release : 2009
Category : Business & Economics
ISBN : 9780691135052

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The Economics of Inaction by Nancy L. Stokey Pdf

In The Economics of Inaction, leading economist Nancy Stokey shows how the tools of stochastic control can be applied to dynamic problems of decision making under uncertainty when fixed costs are present. Stokey provides a self-contained, rigorous, and clear treatment of two types of models, impulse and instantaneous control. She presents the relevant results about Brownian motion and other diffusion processes, develops methods for analyzing each type of problem, and discusses applications to price setting, investment, and durable goods purchases."--Pub. desc.

Optimization in Economics and Finance

Bruce D. Craven,Sardar M. N. Islam
Optimization in Economics and Finance Book PDF

Author : Bruce D. Craven,Sardar M. N. Islam
Publisher : Springer Science & Business Media
Page : 161 pages
File Size : 48,9 Mb
Release : 2006-03-30
Category : Business & Economics
ISBN : 9780387242804

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Optimization in Economics and Finance by Bruce D. Craven,Sardar M. N. Islam Pdf

Some recent developments in the mathematics of optimization, including the concepts of invexity and quasimax, have not yet been applied to models of economic growth, and to finance and investment. Their applications to these areas are shown in this book.

Dynamic and Stochastic Efficiency Analysis

Jatikumar Sengupta
Dynamic and Stochastic Efficiency Analysis Book PDF

Author : Jatikumar Sengupta
Publisher : World Scientific
Page : 244 pages
File Size : 43,8 Mb
Release : 2000
Category : Business & Economics
ISBN : 9810242662

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Dynamic and Stochastic Efficiency Analysis by Jatikumar Sengupta Pdf

This book extends the dynamic and stochastic analysis of economic efficiency by using the recent techniques of data envelopment analysis.New results and applications of these techniques in numerous areas of economics, finance and management are provided, including treatment of private sector industries, portfolio models in finance, quality control techniques in managerial performance, the role of market competition, policy applications in investment models in finance, risk aversion and efficiency, and technology and innovation.The most up-to-date tools of efficiency analysis developed here will be valuable for students and researchers in operations research, applied management science and applied microeconomics.

Stochastic Dynamics in Computational Biology

Stefanie Winkelmann,Christof Schütte
Stochastic Dynamics in Computational Biology Book PDF

Author : Stefanie Winkelmann,Christof Schütte
Publisher : Springer Nature
Page : 284 pages
File Size : 45,5 Mb
Release : 2021-01-04
Category : Mathematics
ISBN : 9783030623876

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Stochastic Dynamics in Computational Biology by Stefanie Winkelmann,Christof Schütte Pdf

The aim of this book is to provide a well-structured and coherent overview of existing mathematical modeling approaches for biochemical reaction systems, investigating relations between both the conventional models and several types of deterministic-stochastic hybrid model recombinations. Another main objective is to illustrate and compare diverse numerical simulation schemes and their computational effort. Unlike related works, this book presents a broad scope in its applications, from offering a detailed introduction to hybrid approaches for the case of multiple population scales to discussing the setting of time-scale separation resulting from widely varying firing rates of reaction channels. Additionally, it also addresses modeling approaches for non well-mixed reaction-diffusion dynamics, including deterministic and stochastic PDEs and spatiotemporal master equations. Finally, by translating and incorporating complex theory to a level accessible to non-mathematicians, this book effectively bridges the gap between mathematical research in computational biology and its practical use in biological, biochemical, and biomedical systems.

Elements Of Stochastic Dynamics

Guo-qiang Cai,Weiqiu Zhu
Elements Of Stochastic Dynamics Book PDF

Author : Guo-qiang Cai,Weiqiu Zhu
Publisher : World Scientific Publishing Company
Page : 552 pages
File Size : 48,5 Mb
Release : 2016-08-11
Category : Technology & Engineering
ISBN : 9789814723343

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Elements Of Stochastic Dynamics by Guo-qiang Cai,Weiqiu Zhu Pdf

Stochastic dynamics has been a subject of interest since the early 20th Century. Since then, much progress has been made in this field of study, and many modern applications for it have been found in fields such as physics, chemistry, biology, ecology, economy, finance, and many branches of engineering including Mechanical, Ocean, Civil, Bio, and Earthquake Engineering.Elements of Stochastic Dynamics aims to meet the growing need to understand and master the subject by introducing fundamentals to researchers who want to explore stochastic dynamics in their fields and serving as a textbook for graduate students in various areas involving stochastic uncertainties. All topics within are presented from an application approach, and may thus be more appealing to users without a background in pure Mathematics. The book describes the basic concepts and theories of random variables and stochastic processes in detail; provides various solution procedures for systems subjected to stochastic excitations; introduces stochastic stability and bifurcation; and explores failures of stochastic systems. The book also incorporates some latest research results in modeling stochastic processes; in reducing the system degrees of freedom; and in solving nonlinear problems. The book also provides numerical simulation procedures of widely-used random variables and stochastic processes.A large number of exercise problems are included in the book to aid the understanding of the concepts and theories, and may be used for as course homework.