-PDF Download- Stochastic Economic Dynamics EBOOK

Stochastic Economic Dynamics

Author: Bjarne S. Jensen

Publisher: Copenhagen Business School Press DK

Published: 2007

Total Pages: 464

ISBN-13: 9788763001854

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.

Economic Dynamics, second edition

Author: John Stachurski

Publisher: MIT Press

Published: 2022-08-16

Total Pages: 395

ISBN-13: 0262544776

DOWNLOAD EBOOK →

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 Models of Control and Economic Dynamics

Author: Vadim Iosifovich Arkin

Publisher: London : Academic Press

Published: 1987

Total Pages: 240

ISBN-13:

DOWNLOAD EBOOK →

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

Author: John Stachurski

Publisher: MIT Press

Published: 2009-01-16

Total Pages: 392

ISBN-13: 0262012774

DOWNLOAD EBOOK →

A rigorous and example-driven introduction to topics in economic dynamics, with an emphasis on mathematical and computational 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. These programs help bring to life the abstract concepts in the text. Background in computing and analysis is offered for readers without programming experience or upper-level mathematics. Topics covered in detail include nonlinear dynamic systems, finite-state Markov chains, stochastic dynamic programming, stochastic stability and computation of equilibria. The models are predominantly nonlinear, and the emphasis is on studying nonlinear systems in their original form, rather than by means of rudimentary approximation methods such as linearization. Much of the material is new to economics and improves on existing techniques. For graduate students and those already working in the field, Economic Dynamics will serve as an essential resource.

Stochastic Dynamic Macroeconomics

Author: Gang Gong

Publisher: Oxford University Press

Published: 2006-01-19

Total Pages: 224

ISBN-13: 9780195345735

DOWNLOAD EBOOK →

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.

Recursive Methods in Economic Dynamics

Author: Nancy L. Stokey

Publisher: Harvard University Press

Published: 1989-10-10

Total Pages: 607

ISBN-13: 0674735188

DOWNLOAD EBOOK →

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.

Stochastic Economics

Author: Gerhard Tintner

Publisher: Elsevier

Published: 2014-05-10

Total Pages: 328

ISBN-13: 1483274020

DOWNLOAD EBOOK →

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.

Elements Of Stochastic Dynamics

Author: Guo-qiang Cai

Publisher: World Scientific Publishing Company

Published: 2016-08-11

Total Pages: 552

ISBN-13: 9814723347

DOWNLOAD EBOOK →

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.

Stochastic Dynamics of Economic Cycles

Author: Viacheslav Karmalita

Publisher: de Gruyter

Published: 2020

Total Pages: 0

ISBN-13: 9783110706987

DOWNLOAD EBOOK →

This book includes discussions related to solutions of such tasks as: probabilistic description of the investment function; recovering the income function from GDP estimates; development of models for the economic cycles; selecting the time interval of pseudo-stationarity of cycles; estimating characteristics/parameters of cycle models; analysis of accuracy of model factors. All of the above constitute the general principles of a theory explaining the phenomenon of economic cycles and provide mathematical tools for their quantitative description. The introduced theory is applicable to macroeconomic analyses as well as econometric estimations of economic cycles.

Economic Dynamics in Discrete Time

Author: Jianjun Miao

Publisher: MIT Press

Published: 2014-09-19

Total Pages: 737

ISBN-13: 0262325608

DOWNLOAD EBOOK →

A unified, comprehensive, and up-to-date introduction to the analytical and numerical tools for solving dynamic economic problems. 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. The book first introduces the theory of dynamical systems and numerical methods for solving dynamical systems, and then discusses the theory and applications of dynamic optimization. The book goes on to treat equilibrium analysis, covering a variety of core macroeconomic models, and such additional topics as recursive utility (increasingly used in finance and macroeconomics), dynamic games, and recursive contracts. The book introduces Dynare, a widely used software platform for handling a range of economic models; readers will learn to use Dynare for numerically solving DSGE models and performing Bayesian estimation of DSGE models. Mathematical appendixes present all the necessary mathematical concepts and results. Matlab codes used to solve examples are indexed and downloadable from the book's website. A solutions manual for students is available for sale from the MIT Press; a downloadable instructor's manual is available to qualified instructors.